Printed from https://ideas.repec.org/n/nep-rmg/2010-07-03.html
Report NEP-RMG-2010-07-03
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:
- Andrén, Niclas & Jankensgård, Håkan & Oxelheim, Lars, 2010, "Exposure-Based Cash-Flow-at-Risk for Value-Creating Risk Management under Macroeconomic Uncertainty," Working Paper Series, Research Institute of Industrial Economics, number 843, Jun.
- Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010, "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers, Banco de España, number 1018, Jun.
- 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, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-10, Jun.
- Lillo Rodríguez, Rosa Elvira & Romo, Juan & Laniado Rodas, Henry, 2010, "Multivariate extremality measure," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica, number ws101908, Jun.
- 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, Deutsche Bundesbank, number 2010,11.
- Sebastian Dohler, 2010, "Validation of credit default probabilities via multiple testing procedures," Papers, arXiv.org, number 1006.4968, Jun.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010, "Realized Volatility Risk," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/26, May.
- Khudnitskaya, Alesia S., 2009, "Microenvironment-specific Effects in the Application Credit Scoring Model," MPRA Paper, University Library of Munich, Germany, number 23175, Dec.