Printed from https://ideas.repec.org/n/nep-rmg/2012-11-11.html
Report NEP-RMG-2012-11-11
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:
- Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012, "The Risk Map: A New Tool for Validating Risk Models," Working Papers, HAL, number halshs-00746273, Oct.
- Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 832, Nov.
- Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013, "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers, HAL, number halshs-00746272, Jun.
- Eichberger, Jürgen & Rheinberger, Klaus & Summer, Martin, 2012, "Credit risk in general equilibrium," Working Paper Series, European Central Bank, number 1445, Jun.
- Vladislav Damjanovic, 2012, "Endogeneous Risk in Monopolistic Competition," Discussion Papers, University of Exeter, Department of Economics, number 1208.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012, "Bank ratings: what determines their quality?," Working Paper Series, European Central Bank, number 1484, Oct.
- Christophe Hurlin & Christophe Pérignon, 2012, "Margin Backtesting," Working Papers, HAL, number halshs-00746274, Oct.
- Item repec:hum:wpaper:sfb649dp2012-063 is not listed on IDEAS anymore
- Carlos León, 2012, "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia, Banco de la Republica de Colombia, number 743, Oct, DOI: 10.32468/be.743.
- Alberto Elices, 2012, "The role of the Model Validation function to manage and mitigate model risk," Papers, arXiv.org, number 1211.0225, Oct.
- Item repec:hal:wpaper:hal-00746251 is not listed on IDEAS anymore
- Alois Pichler & Alexander Shapiro, 2012, "Uniqueness of Kusuoka Representations," Papers, arXiv.org, number 1210.7257, Oct, revised Feb 2013.
- Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012, "On bounding credit event risk premia," Staff Reports, Federal Reserve Bank of New York, number 577.
- Item repec:hum:wpaper:sfb649dp2012-064 is not listed on IDEAS anymore
- David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012, "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers, Kyoto University, Institute of Economic Research, number 831, Nov.
- Stéphane Loisel & Hans-U. Gerber, 2012, "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print, HAL, number hal-00746231, Feb.
- LEV RATNOVSKI & Giovanni Dell'Ariccia, 2012, "Bailouts, Contagion, and Bank Risk-Taking," 2012 Meeting Papers, Society for Economic Dynamics, number 133.
- Lars Peter Hansen, 2012, "Challenges in Identifying and Measuring Systemic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 18505, Nov.
- Biais, Bruno & Heider, Florian & Hoerova, Marie, 2012, "Clearing, counterparty risk and aggregate risk," Working Paper Series, European Central Bank, number 1481, Oct.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012, "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers, Department of Economics, University of York, number 12/28, Oct.
- Item repec:hhs:bofism:2012_044 is not listed on IDEAS anymore
- Marco Bianchetti, 2012, "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," Papers, arXiv.org, number 1210.7329, Oct.
- Joan del castillo & Jalila Daoudi & Isabel Serra, 2012, "The full-tails gamma distribution applied to model extreme values," Papers, arXiv.org, number 1211.0130, Nov.