Report NEP-RMG-2010-01-23

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Palombini, Edgardo, 2009. "Factor models and the credit risk of a loan portfolio," MPRA Paper 20107, University Library of Munich, Germany.
• Li, Hui, 2010. "Downturn LGD: A Spot Recovery Approach," MPRA Paper 20010, University Library of Munich, Germany.
• Ojo, Marianne, 2010. "Extending the scope of prudential supervision: Regulatory developments during and beyond the “effective” periods of the Post BCCI and the Capital Requirements directives," MPRA Paper 20013, University Library of Munich, Germany.
• Jan Kregel, 2009. "Observations on the Problem of 'Too Big to Fail/Save/Resolve'," Economics Policy Note Archive 09-11, Levy Economics Institute.
• Pirtea, Marilen & Dima, Bogdan & Milos, Laura Raisa, 2009. "The companies financial architecture and the market values: is there an interlinkage ? The case of Bucharest Stock Exchange," MPRA Paper 20084, University Library of Munich, Germany.
• Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," DEM Discussion Paper Series 09-17, Department of Economics at the University of Luxembourg.
• Uhde, André & Heimeshoff, Ulrich, 2009. "Consolidation in banking and financial stability in Europe: empirical evidence," FAU Discussion Papers in Economics 02/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Cao, Jin & Illing, Gerhard, 2010. "Regulation of Systemic Liquidity Risk," Discussion Papers in Economics 11306, University of Munich, Department of Economics.
• Zhiguang (Gerald) Wang, 2009. "Volatility Risk," Issue Briefs 2009513, South Dakota State University, Department of Economics.
• Willem Buiter, 2009. "Lessons from the global financial crisis for regulators and supervisors," FMG Discussion Papers dp635, Financial Markets Group.
• Madalina Ecaterina Andreica & Mugurel Ionut Andreica & Marin Andreica, 2010. "Using Financial Ratios to Identify Romanian Distressed Companies," Papers 1001.1446, arXiv.org.
• Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu, 2010. "Asymptotics of the probability minimizing a "down-side" risk," Papers 1001.2131, arXiv.org.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.