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Report NEP-RMG-2010-06-04
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:
- 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, The World Bank, number 5319, Jan.
- Chris Henderson & Julapa Jagtiani, 2010, "Can banks circumvent minimum capital requirements? The case of mortgage portfolios under Basel II," Working Papers, Federal Reserve Bank of Philadelphia, number 10-17.
- Marianna Lyra & Akwum Onwunta & Peter Winker, 2010, "Threshold Accepting for Credit Risk Assessment and Validation," Working Papers, COMISEF, number 039, May.
- Pesaran, M.H., 2010, "Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1025, May.
- Duffie, Darrell & Li, Ada & Lubke, Theo, 2010, "Policy Perspectives on OTC Derivatives Market Infrastructure," Research Papers, Stanford University, Graduate School of Business, number 2046, Jan.
- Nieto, María Rosa & Ruiz Ortega, Esther, 2010, "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws102814, May.
- Beltratti, Andrea & Stulz, Rene M., 2010, "The Credit Crisis around the Globe: Why Did Some Banks Perform Better?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2010-5, Mar.
- Juan Carlos Hatchondo & Leonardo Martinez, 2012, "Debt dilution and sovereign default risk," Working Paper, Federal Reserve Bank of Richmond, number 10-08.
- Stephen Cecchetti & Ingo Fender & Kostas Patrick McGuire, 2010, "Toward a global risk map," BIS Working Papers, Bank for International Settlements, number 309, May.
- Pasquale Lucio Scandizzo & Odin K Knudsen, 2010, "Risk Management and Regulation Compliance with Tradable Permits under Dynamic Uncertainty," CEIS Research Paper, Tor Vergata University, CEIS, number 163, May, revised 28 May 2010.
- Masset, Philippe & Weisskopf, Jean-Philippe, 2010, "Raise Your Glass: Wine Investment And The Financial Crisis," Working Papers, American Association of Wine Economists, number 90484, Mar, DOI: 10.22004/ag.econ.90484.
- 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, DIW Berlin, German Institute for Economic Research, number 35.
- Luis M. Viceira & Ricardo Gimeno, 2010, "The euro as a reserve currency for global investors," Working Papers, Banco de España, number 1014, May.