Report NEP-RMG-2006-10-07

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Item repec:hhb:aarmsl:2006_005 is not listed on IDEAS anymore

• Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research and International Relations Area.
• Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers 0601, University of Crete, Department of Economics.
• Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics.
• Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation in Intensity Models," Working Papers wp2006_0605, CEMFI.
• Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
• Abel Elizalde, 2006. "Credit Risk Models III: Reconciliation Reduced – Structural Models," Working Papers wp2006_0607, CEMFI.
• Abel Elizalde, 2006. "Credit Risk Models IV: Understanding and Pricing CDOs," Working Papers wp2006_0608, CEMFI.
• Bentahar, Imen, 2006. "Tail Conditional Expectation for vector-valued risks," SFB 649 Discussion Papers 2006-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• José Cerón & Javier Suarez, 2006. "Hot and Cold Housing Markets: International Evidence," Working Papers wp2006_0603, CEMFI.
• Item repec:hhs:bofitp:2005_009 is not listed on IDEAS anymore