Report NEP-RMG-2009-10-17

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:

• Sylvain Prado, 2009. "Hedging residual value risk using derivatives," EconomiX Working Papers 2009-31, University of Paris Nanterre, EconomiX.
• Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris Nanterre, EconomiX.
• Igor Halperin, 2009. "Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives," Papers 0910.2696, arXiv.org.
• Amedeo Argentiero, 2009. "Some New Evidence on the Role of Collateral: Lazy Banks or Diligent Banks?," ISAE Working Papers 113, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
• Matthias Degen & Dominik D. Lambrigger & Johan Segers, 2009. "Risk Concentration and Diversification: Second-Order Properties," Papers 0910.2367, arXiv.org, revised Dec 2009.
• Shige Peng & Xiaoming Xu, 2009. "BSDEs with random default time and their applications to default risk," Papers 0910.2091, arXiv.org.
• Sven P. Jost, 2009. "Transfer Pricing Risk Awareness of Multinational Corporations - Evidence from a Global Survey," Working Papers 2009-21, Faculty of Economics and Statistics, Universität Innsbruck.
• Linnéa Lundberg & Jiri Novak & Maria Vikman, 2009. "Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds," Working Papers IES 2009/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2009.
• Benth, Fred & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers 2009-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:dlw:wpaper:09-07. is not listed on IDEAS anymore

• Coffinet, J. & Lin, S. & Martin, C., 2009. "Stress testing French banks' income subcomponents," Working papers 242, Banque de France.
• Bunda, Irina & Ca' Zorzi, Michele, 2009. "Signals from housing and lending booms," Working Paper Series 1094, European Central Bank.
• Silvia Rashad Gad Tadros, 2009. "Measuring the Quality of Banking Regulation in Egypt," Working Papers 17, The German University in Cairo, Faculty of Management Technology.
• M. Piacquadio & F. O. Redelico, 2009. "Multifractal analysis and instability index of prior-to-crash market situations," Papers 0910.2474, arXiv.org.