Report NEP-RMG-2009-11-21

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:

• David Wozabal & Ronald Hochreiter, 2009. "A Coupled Markov Chain Approach to Credit Risk Modeling," Papers 0911.3802, arXiv.org, revised Jan 2014.
• Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
• Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
• Cristina Belciuganu, 2009. "Spillover effect: A study for major capital markets and Romania capital market," Advances in Economic and Financial Research - DOFIN Working Paper Series 29, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
• Alejandro García & Andrei Prokopiw, 2009. "Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks," Discussion Papers 09-12, Bank of Canada.
• Item repec:hhs:bofrdp:2009_023 is not listed on IDEAS anymore

• Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.
• Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A framework for assessing the systemic risk of major financial institutions," Finance and Economics Discussion Series 2009-37, Board of Governors of the Federal Reserve System (U.S.).
• Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw.
• Heider, Florian & Hoerova, Marie, 2009. "Interbank lending, credit risk premia and collateral," Working Paper Series 1107, European Central Bank.
• Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.