Report NEP-RMG-2007-11-10

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:

• Item repec:ven:wpaper:17_07 is not listed on IDEAS anymore

• Herbertsson, Alexander, 2007. "Modelling Default Contagion Using Multivariate Phase-Type Distributions," Working Papers in Economics 271, University of Gothenburg, Department of Economics.
• Item repec:rim:rimwps:44-07 is not listed on IDEAS anymore

• Herbertsson, Alexander, 2007. "Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach," Working Papers in Economics 270, University of Gothenburg, Department of Economics.
• Herbertsson, Alexander & Rootzén, Holger, 2007. "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics 269, University of Gothenburg, Department of Economics.
• Item repec:rim:rimwps:30-07 is not listed on IDEAS anymore

• Herbertsson, Alexander, 2007. "Default Contagion in Large Homogeneous Portfolios," Working Papers in Economics 272, University of Gothenburg, Department of Economics.
• Item repec:pra:mprapa:5636 is not listed on IDEAS anymore

• Matteo Pelagatti, 2007. "Modelling good and bad volatility," Working Papers 20071101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.