Report NEP-RMG-2010-04-17

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Bag, Pinaki, 2010. "Exposure at Default Model for Contingent Credit Line," MPRA Paper 20387, University Library of Munich, Germany.
• Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Papers (Old Series) 1002, Federal Reserve Bank of Cleveland.
• Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
• Schaumburg, Julia, 2010. "Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory," SFB 649 Discussion Papers 2010-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• BOYER, Marcel & BOYER, Martin M. & GARCIA, René, 2010. "The Alleviation of Coordination Problems through Financial Risk Management," Cahiers de recherche 06-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Timothy Irwin & Oscar Parkyn, 2009. "Improving the Management of the Crown’s Exposure to Risk," Treasury Working Paper Series 09/06, New Zealand Treasury.
• Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
• Masahiko Egami & Kazutoshi Yamazaki, 2010. "Precautionary Measures for Credit Risk Management in Jump Models," Papers 1004.0595, arXiv.org, revised Jun 2011.
• Sergey Ivliev, 2010. "Simple Fuzzy Score for Russian Public Companies Risk of Default," Papers 1004.0685, arXiv.org, revised Apr 2010.
• John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
• Ulrich Kirchner, 2010. "Managing Derivative Exposure," Papers 1004.1053, arXiv.org.
• Wayne R. Archer & Brent C. Smith, 2010. "Residential mortgage default: the roles of house price volatility, euphoria and the borrower's put option," Working Paper 10-02, Federal Reserve Bank of Richmond.
• Larry D. Wall, 2010. "Prudential discipline for financial firms: micro, macro, and market structures," FRB Atlanta Working Paper 2010-09, Federal Reserve Bank of Atlanta.
• Diasparra, Maikol & Romera, Rosario, 2009. "Inequalities for the ruin probability in a controlled discrete-time risk process," DES - Working Papers. Statistics and Econometrics. WS ws093513, Universidad Carlos III de Madrid. Departamento de Estadística.
• Yan Dolinsky, 2010. "Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model," Papers 1004.1574, arXiv.org.
• Lang, Joachim & Madlener, Reinhard, 2010. "Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation," FCN Working Papers 1/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).