Report NEP-RMG-2011-10-09This 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:
- Buncic, Daniel & Melecky, Martin, 2011. "Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers," Economics Working Paper Series 1139, University of St. Gallen, School of Economics and Political Science.
- Pederson, Glenn D. & Chu, Yu-Szu & Richardson, D. Wynn, 2011. "A Visual Approach to Community Bank Assessment of Agricultural Portfolio Risk Exposure," Staff Papers 115673, University of Minnesota, Department of Applied Economics.
- Orth, Walter, 2011. "Default probability estimation in small samples - with an application to sovereign bonds," MPRA Paper 33778, University Library of Munich, Germany.
- H Peyton Young & Dean P. Foster, 2011. "A Strategy-Proof Test of Portfolio Returns," Economics Series Working Papers 567, University of Oxford, Department of Economics.
- Förstemann, Till, 2011. "Improvements in rating models for the German corporate sector," Discussion Paper Series 2: Banking and Financial Studies 2011,11, Deutsche Bundesbank.
- Joanna Janczura & Rafal Weron, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," HSC Research Reports HSC/11/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
- Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.