Report NEP-RMG-2009-09-05

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 McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
• Marcos Souto & Benjamin M. Tabak & Francisco Vazquez, 2009. "Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks," Working Papers Series 189, Central Bank of Brazil, Research Department.
• Bunea-Bontaş, Cristina Aurora, 2009. "Basic Principles of Hedge Accounting," MPRA Paper 17072, University Library of Munich, Germany.
• Alan Cosme Rodrigues da Silva & Antônio Carlos Magalhães da Silva & Jaqueline Terra Moura Marins & Myrian Beatriz Eiras da Neves & Giovani Antonio Silva Brito, 2009. "The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default," Working Papers Series 187, Central Bank of Brazil, Research Department.
• Düllmann, Klaus & Erdelmeier, Martin, 2009. "Stress testing German banks in a downturn in the automobile industry," Discussion Paper Series 2: Banking and Financial Studies 2009,02, Deutsche Bundesbank.
• Gaisser, Sandra & Memmel, Christoph & Schmidt, Rafael & Wehn, Carsten, 2009. "Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach," Discussion Paper Series 2: Banking and Financial Studies 2009,07, Deutsche Bundesbank.
• Blank, Sven & Buch, Claudia M. & Neugebauer, Katja, 2009. "Shocks at large banks and banking sector distress: the Banking Granular Residual," Discussion Paper Series 2: Banking and Financial Studies 2009,04, Deutsche Bundesbank.
• Columba, Francesco & Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2009. "The effects of mutual guarantee consortia on the quality of bank lending," MPRA Paper 17052, University Library of Munich, Germany, revised Mar 2009.
• Völz, Manja & Wedow, Michael, 2009. "Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market," Discussion Paper Series 2: Banking and Financial Studies 2009,06, Deutsche Bundesbank.
• Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.
• Roland Winkler & Hans-Werner Wohltmann, 2009. "On the (de)stabilizing effects of news shocks," Kiel Working Papers 1542, Kiel Institute for the World Economy.
• Frahm, Gabriel & Memmel, Christoph, 2009. "Dominating estimators for the global minimum variance portfolio," Discussion Paper Series 2: Banking and Financial Studies 2009,01, Deutsche Bundesbank.
• Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series CIRJE-F-654, CIRJE, Faculty of Economics, University of Tokyo.
• Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2009. "Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus," CRIEFF Discussion Papers 0910, Centre for Research into Industry, Enterprise, Finance and the Firm.
• Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series 188, Central Bank of Brazil, Research Department.