Report NEP-RMG-2011-02-26This 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:
- Item repec:dgr:uvatin:20100004 is not listed on IDEAS anymore
- Patrick Bolton & Hui Chen & Neng Wang, 2011. "Market Timing, Investment, and Risk Management," NBER Working Papers 16808, National Bureau of Economic Research, Inc.
- Alberto Elices & Eduard Gim\'enez, 2011. "Applying hedging strategies to estimate model risk and provision calculation," Papers 1102.3534, arXiv.org, revised Oct 2012.
- Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton, 2011. "Transition Probability Matrix Methodology for Incremental Risk Charge," Papers 1102.3857, arXiv.org.
- Michael C. M\"unnix & Rudi Sch\"afer & Thomas Guhr, 2011. "A Random Matrix Approach to Credit Risk," Papers 1102.3900, arXiv.org, revised Jun 2011.
- Rudi Sch\"afer & Alexander F. R. Koivusalo, 2011. "Dependence of defaults and recoveries in structural credit risk models," Papers 1102.3150, arXiv.org, revised Mar 2011.
- Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
- Item repec:dgr:uvatin:20100116 is not listed on IDEAS anymore
- Jeroen Klomp & Jacob de Haan (DNB), 2010. "Banking risk and regulation: Does one size fit all?," CPB Discussion Paper 164, CPB Netherlands Bureau for Economic Policy Analysis.
- Gareth W. Peters & Pavel Shevchenko & Mark Young & Wendy Yip, 2011. "Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation," Papers 1102.3582, arXiv.org.
- Item repec:dgr:uvatin:20100082 is not listed on IDEAS anymore
- Coffinet, J. & Coudert, V. & Pop, A. & Pouvelle, C., 2011. "Two-way interplays between capital buffers, credit and output: evidence from French banks," Working papers 316, Banque de France.
- Item repec:dgr:uvatin:20110004 is not listed on IDEAS anymore
- Blake LeBaron, 2010. "Searching For Lost Decades," Working Papers 30, Brandeis University, Department of Economics and International Businesss School.
- Joanna Janczura & Rafal Weron, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," Papers 1102.3712, arXiv.org.