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Report NEP-RMG-2010-11-20
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:
- Vincenzo Tola, 2010, "Measuring sectoral/geographic concentration risk," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 72, Oct.
- Demirguc-Kunt, Asli & Detragiache, Enrica & Merrouche, Ouarda, 2010, "Bank capital : lessons from the financial crisis," Policy Research Working Paper Series, The World Bank, number 5473, Nov.
- Xiaolin Luo & Pavel V. Shevchenko, 2010, "Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor," Papers, arXiv.org, number 1011.2827, Nov, revised Oct 2014.
- Saltoglu, Burak & Yenilmez, Taylan, 2010, "Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash," MPRA Paper, University Library of Munich, Germany, number 26684, Nov.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2010, "Evaluating Value-at-Risk Models via Quantile Regression," NCER Working Paper Series, National Centre for Econometric Research, number 67, Nov.
- Jouchi Nakajima & Yasuhiro Omori, 2010, ""GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)," CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-J-228, Nov.
- Céline Gauthier & Zhongfang He & Moez Souissi, 2010, "Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings," Staff Working Papers, Bank of Canada, number 10-29, DOI: 10.34989/swp-2010-29.
- Fabio Sigrist & Werner A. Stahel, 2010, "Using The Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default," Papers, arXiv.org, number 1011.1796, Nov, revised May 2012.
- Philipp Weinschenk, 2010, "Moral Hazard and Ambiguity," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2010_39, Sep.
- O. Emre Ergungor, 2010, "Homeownership for the long run: an analysis of homeowner subsidies," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1021.
- Anat R. Admati & Peter M. DeMarzo & Martin F. Hellwig & Paul Pfleiderer, 2010, "Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2010_42, Sep.