Report NEP-RMG-2010-06-04This 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:
- Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
- Christopher Henderson & Julapa Jagtiani, 2010. "Can banks circumvent minimum capital requirements? The case of mortgage portfolios under Basel II," Working Papers 10-17, Federal Reserve Bank of Philadelphia.
- Marianna Lyra & Akwum Onwunta & Peter Winker, 2010. "Threshold Accepting for Credit Risk Assessment and Validation," Working Papers 039, COMISEF.
- Pesaran, M.H., 2010. "Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market," Cambridge Working Papers in Economics 1025, Faculty of Economics, University of Cambridge.
- Duffie, Darrell & Li, Ada & Lubke, Theo, 2010. "Policy Perspectives on OTC Derivatives Market Infrastructure," Research Papers 2046, Stanford University, Graduate School of Business.
- María Rosa Nieto & Esther Ruiz, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," Statistics and Econometrics Working Papers ws102814, Universidad Carlos III, Departamento de Estadística y Econometría.
- Beltratti, Andrea & Stulz, Rene M., 2010. "The Credit Crisis around the Globe: Why Did Some Banks Perform Better?," Working Paper Series 2010-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Juan Carlos Hatchondo & Leonardo Martinez, 2012. "Debt dilution and sovereign default risk," Working Paper 10-08, Federal Reserve Bank of Richmond.
- Stephen Cecchetti & Ingo Fender & Kostas Patrick McGuire, 2010. "Toward a global risk map," BIS Working Papers 309, Bank for International Settlements.
- Pasquale Lucio Scandizzo & Odin K Knudsen, 2010. "Risk Management and Regulation Compliance with Tradable Permits under Dynamic Uncertainty," CEIS Research Paper 163, Tor Vergata University, CEIS, revised 28 May 2010.
- Masset, Philippe & Weisskopf, Jean-Philippe, 2010. "Raise Your Glass: Wine Investment And The Financial Crisis," Working Papers 90484, American Association of Wine Economists.
- Martin Mullins & John Garvey, 2010. "Radical Islamic Terrorism in the Middle East and Its Direct Costs on Western Financial Markets," Economics of Security Working Paper Series 35, DIW Berlin, German Institute for Economic Research.
- Luis M. Viceira & Ricardo Gimeno, 2010. "The euro as a reserve currency for global investors," Banco de Espa�a Working Papers 1014, Banco de Espa�a.