Report NEP-RMG-2010-01-23This 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.
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," CREA Discussion Paper Series 09-17, Center for Research in Economic Analysis, University of Luxembourg.
- Uhde, André & Heimeshoff, Ulrich, 2009. "Consolidation in banking and financial stability in Europe: empirical evidence," IWQW Discussion Paper Series 02/2009, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).
- 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.