Printed from https://ideas.repec.org/n/nep-rmg/2010-05-15.html
Report NEP-RMG-2010-05-15
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Martin Saldias Zambrana, 2010, "Systemic risk analysis using forward-looking distance-to-default series," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1005, DOI: 10.26509/frbc-wp-201005.
- Souphala Chomsisengphet & Ronel Elul & Robert M. Hunt & Nicholas S. Souleles, 2010, "What \"triggers\" mortgage default?," Working Papers, Federal Reserve Bank of Philadelphia, number 10-13.
- George Pennacchi, 2010, "A structural model of contingent bank capital," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1004, DOI: 10.26509/frbc-wp-201004.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/19, Apr.
- Stefan Hlawatsch & Sebastian Ostrowski, 2010, "Simulation and Estimation of Loss Given Default," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 100010, Mar.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010, "What determines euro area bank CDS spreads ?," Working Paper Research, National Bank of Belgium, number 190, May.
- Item repec:hhs:bofrdp:2010_009 is not listed on IDEAS anymore
- Dominique, C-Rene & Rivera-Solis, Luis Eduardo & Des Rosiers, Francois, 2010, "Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index," MPRA Paper, University Library of Munich, Germany, number 22604, May.
- Item repec:dgr:uvatin:20090102 is not listed on IDEAS anymore
- Marco Bee, 2010, "Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 1003.
- Satyajit Chatterjee & Burcu Eyigungor, 2010, "Maturity, indebtedness, and default risk," Working Papers, Federal Reserve Bank of Philadelphia, number 10-12.
- Mathieu Lefebvre & Ferdinand M. Vieider, 2010, "Reining in Excessive Risk Taking by Executives : Experimental Evidence," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 1006.
- Ehsan Azmoodeh, 2010, "On the fractional Black-Scholes market with transaction costs," Papers, arXiv.org, number 1005.0211, May.