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. Stan Miles issued this report. It is usually issued weekly.

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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 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," Working Papers 1018, Banco de España.
• 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.
• Laniado Rodas, Henry, 2010. "Multivariate extremality measure," DES - Working Papers. Statistics and Econometrics. WS ws101908, Universidad Carlos III de Madrid. Departamento de Estadística.
• 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.
• Sebastian Dohler, 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.