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Report NEP-RMG-2012-01-10
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:
- Pavel V. Shevchenko & Xiaolin Luo, 2011, "Dependent default and recovery: MCMC study of downturn LGD credit risk model," Papers, arXiv.org, number 1112.5766, Dec.
- Daniel Kapp & Marco Vega, 2012, "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers, arXiv.org, number 1201.0967, Jan, revised May 2012.
- Richard J Martin, 2011, "Saddlepoint methods in portfolio theory," Papers, arXiv.org, number 1201.0106, Dec.
- Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
- Francisca Beer & Mohamad Watfa & Mohamed Zouaoui, 2011, "Do investors care about noise trader risk?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1111201, Oct, revised Dec 2011.
- Apergis, Nicholas & Payne, James E. & Tsoumas, Chris, 2011, "Credit rating changes’ impact on banks: evidence from the US banking industry," MPRA Paper, University Library of Munich, Germany, number 35647, Dec.
- Hamed Amini & Rama Cont & Andreea Minca, 2011, "Resilience to Contagion in Financial Networks," Papers, arXiv.org, number 1112.5687, Dec.