Report NEP-RMG-2007-06-30

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:

• Gersbach, Hans & Wenzelburger, Jan, 2007. "Sophistication in Risk Management, Bank Equity, and Stability," CEPR Discussion Papers 6353, C.E.P.R. Discussion Papers.
• Ethan Cohen-Cole, 2007. "Asset liquidity, debt valuation and credit risk," Supervisory Research and Analysis Working Papers QAU07-5, Federal Reserve Bank of Boston.
• Jennifer Chan & Boris Choy & Udi Makov, 2007. "Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution," Research Paper Series 196, Quantitative Finance Research Centre, University of Technology, Sydney.
• Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Volatility forecasting for crude oil futures," Research Papers in Economics 2007:9, Stockholm University, Department of Economics.
• John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
• Andrea Terzi & Giovanni Verga, 2006. "Stock-bond correlation and the bond quality ratio: Removing the discount factor to generate a “deflated” stock index," DISCE - Quaderni dell'Istituto di Economia e Finanza ief0067, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
• Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets," Research Papers in Economics 2007:11, Stockholm University, Department of Economics.
• António Miguel Martins & Ana Paula Serra, 2007. "Market Impact of International Sporting and Cultural Events," Working Papers 0720, International Association of Sports Economists;North American Association of Sports Economists.
• Cuadra Gabriel & Sapriza Horacio, 2007. "Fiscal Policy and Default Risk in Emerging Markets," Working Papers 2007-03, Banco de México.