Report NEP-RMG-2007-10-20

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:

• Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney.
• Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen.
• Item repec:apr:aprewp:wp2007-02 is not listed on IDEAS anymore

• Bandyopadhyay, Arindam, 2007. "Credit Risk Models for Managing Bank’s Agricultural Loan Portfolio," MPRA Paper 5358, University Library of Munich, Germany.
• Philippe Ehlers & Philipp J. Schoenbucher, 2007. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute.
• Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe, 2007. "Stochastic Volatility: Risk Minimization and Model Risk," Swiss Finance Institute Research Paper Series 07-10, Swiss Finance Institute.
• François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Working Paper Research 118, National Bank of Belgium.
• Alena Audzeyeva & Klaus Reiner Schenk-Hoppe, 2007. "Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets," Swiss Finance Institute Research Paper Series 07-18, Swiss Finance Institute.
• Dirk Hackbarth & Erwan Morellec, 2006. "Stock Returns in Mergers and Acquisitions," Swiss Finance Institute Research Paper Series 06-01, Swiss Finance Institute.
• Tavares, José & ,, 2007. "Economic Integration and the Co-movement of Stock Returns," CEPR Discussion Papers 6519, C.E.P.R. Discussion Papers.