Report NEP-RMG-2010-02-27

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:

• Fiona Stewart, 2010. "Pension Funds' Risk-Management Framework: Regulation and Supervisory Oversight," OECD Working Papers on Insurance and Private Pensions 40, OECD Publishing.
• Georges Dionne & Karima Ouederni, 2010. "Corporate Risk Management and Dividend Signaling Theory," Cahiers de recherche 1008, CIRPEE.
• Dirk Tasche, 2010. "The two defaults scenario for stressing credit portfolio loss distributions," Papers 1002.2604, arXiv.org, revised Oct 2015.
• Yuri A. Katz & Nikolai V. Shokhirev, 2010. "Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model," Papers 1002.2909, arXiv.org, revised Jun 2010.
• Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
• Michael B. Gordy & Søren Willemann, 2010. "Constant proportion debt obligations: a post-mortem analysis of rating models," Finance and Economics Discussion Series 2010-05, Board of Governors of the Federal Reserve System (U.S.).
• Cao, Jin, 2010. "Illiquidity, insolvency, and banking regulation," Discussion Papers in Economics 11370, University of Munich, Department of Economics.
• Claudia Kluppelberg & Serguei Pergamenchtchikov, 2010. "Optimal consumption and investment with bounded downside risk for power utility functions," Papers 1002.2487, arXiv.org.
• Philip Maymin, 2010. "Regulation Simulation," Papers 1002.2281, arXiv.org.
• Philip Maymin, 2010. "The Hazards of Propping Up: Bubbles and Chaos," Papers 1002.2282, arXiv.org.
• Hanming Fang & Edward Kung, 2010. "How Does Life Settlement Affect the Primary Life Insurance Market?," PIER Working Paper Archive 10-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.