Report NEP-RMG-2010-07-03This 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:
- Andrén, Niclas & Jankensgård, Håkan & Oxelheim, Lars, 2010. "Exposure-Based Cash-Flow-at-Risk for Value-Creating Risk Management under Macroeconomic Uncertainty," Working Paper Series 843, Research Institute of Industrial Economics.
- Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Banco de Espa�a Working Papers 1018, Banco de Espa�a.
- Satoshi Yamashita & Toshinao Yoshiba, 2010. "Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value," IMES Discussion Paper Series 10-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
- Henry Laniado & Rosa E. Lillo & Juan Romo, 2010. "Multivariate extremality measure," Statistics and Econometrics Working Papers ws101908, Universidad Carlos III, Departamento de Estadística y Econometría.
- Dötz, Niko & Fischer, Christoph, 2010. "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Discussion Paper Series 1: Economic Studies 2010,11, Deutsche Bundesbank, Research Centre.
- Sebastian D\"ohler, 2010. "Validation of credit default probabilities via multiple testing procedures," Papers 1006.4968, arXiv.org.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- Khudnitskaya, Alesia S., 2009. "Microenvironment-specific Effects in the Application Credit Scoring Model," MPRA Paper 23175, University Library of Munich, Germany.