Report NEP-RMG-2006-11-25

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:

• Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/195, International Monetary Fund.
• Giacomini, Enzo & Härdle, Wolfgang Karl & Ignatieva, Ekaterina & Spokoiny, Vladimir, 2006. "Inhomogeneous dependency modelling with time varying copulae," SFB 649 Discussion Papers 2006-075, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2006. "GHICA: Risk analysis with GH distributions and independent components," SFB 649 Discussion Papers 2006-078, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Chen, Shiyi & Härdle, Wolfgang Karl & Moro, Rouslan A., 2006. "Estimation of default probabilities with Support Vector Machines," SFB 649 Discussion Papers 2006-077, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Elsinger, Helmut & Lehar, Alfred & Summer, Martin, 2005. "Using Market Information for Banking System Risk Assessment," MPRA Paper 817, University Library of Munich, Germany.
• Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
• Gai, Prasanna & Vause, Nicholas, 2005. "Measuring Investors' Risk Appetite," MPRA Paper 818, University Library of Munich, Germany.
• Kim, Joocheol & Kim, KiHyung, 2006. "Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption," MPRA Paper 860, University Library of Munich, Germany.
• J. David Cummins & Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2006. "Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities," Cahiers de recherche 06-06, HEC Montréal, Institut d'économie appliquée.
• Josep Vallverdu Calafell & Antonio David Somoza Lopez & Soledad Moya Gutierrez, 2006. "Towards a Theory of the Credit-Risk Balance Sheet (II). The Evolution of its Structure," Working Papers in Economics 165, Universitat de Barcelona. Espai de Recerca en Economia.
• Amadou N Sy & Jorge A Chan-Lau, 2006. "Distance-to-Default in Banking; A Bridge Too Far?," IMF Working Papers 06/215, International Monetary Fund.
• Karen K. Lewis, 2006. "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," NBER Working Papers 12697, National Bureau of Economic Research, Inc.
• Martin Petri & Tahsin Saadi-Sedik, 2006. "The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?," IMF Working Papers 06/187, International Monetary Fund.
• Josep Vallverdu Calafell & Antonio David Somoza Lopez & Soledad Moya Gutierrez, 2006. "Towards a Theory of the Credit-Risk Balance Sheet," Working Papers in Economics 148, Universitat de Barcelona. Espai de Recerca en Economia.