Report NEP-RMG-2009-06-03

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Jan Pieter Krahnen & Christian Wilde, 2008. "Risk Transfer with CDOs," CFS Working Paper Series 2008/15, Center for Financial Studies.
• Item repec:hal:cesptp:halshs-00389789_v1 is not listed on IDEAS anymore

• Aikman, David & Alessandri, Piergiorgio & Eklund, Bruno & Gai, Prasanna & Kapadia, Sujit & Martin, Elizabeth & Mora, Nada & Sterne, Gabriel & Willison, Matthew, 2009. "Funding liquidity risk in a quantitative model of systemic stability," Bank of England working papers 372, Bank of England.
• Lóránt Varga, 2009. "The information content of Hungarian sovereign CDS spreads," MNB Occasional Papers 2009/78, Magyar Nemzeti Bank (Central Bank of Hungary).
• Manfred GILLI & Enrico SCHUMANN, 2009. "An Empirical Analysis of Alternative Portfolio Selection Criteria," Swiss Finance Institute Research Paper Series 09-06, Swiss Finance Institute.
• Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
• Kateryna Shapovalova & Alexander Subbotin, 2009. "Predicting Stock Returns in a Cross-Section : Do Individual Firm chatacteristics Matter ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390647, HAL.
• Dongming Zhu & John W. Galbraith, 2009. "Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution," CIRANO Working Papers 2009s-24, CIRANO.
• Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009. "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC 2009-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).