Report NEP-RMG-2010-04-24

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:

• Pustovalova, Tatiana A., 2010. "Developing the model of the credit risk assessment of the commercial bank credit loans portfolio," Working Papers 104, Graduate School of Management, St. Petersburg State University.
• Roxana Chiriac & Winfried Pohlmeier, 2010. "How Risky Is the Value at Risk?," Working Paper series 07_10, Rimini Centre for Economic Analysis.
• Yadong Li & Ziyu Zheng, 2010. "A Top-down Model for Cash CLO," Papers 1004.2865, arXiv.org.
• Luca Capriotti & Mike Giles, 2010. "Fast Correlation Greeks by Adjoint Algorithmic Differentiation," Papers 1004.1855, arXiv.org.
• Philip Z. Maymin & Zakhar G. Maymin, 2010. "Any Regulation of Risk Increases Risk," Papers 1004.1670, arXiv.org, revised Apr 2012.
• Ojo, Marianne, 2010. "Risk monitoring tools in bank regulation and supervision – developments since the collapse of Barings Plc," MPRA Paper 22125, University Library of Munich, Germany.
• Kevin Dowd & John Cotter & Ghulam Sorwar, 2010. "Spectral Risk Measures: Properties and Limitations," Working Papers 200839, Geary Institute, University College Dublin.
• Sasha C. Breger Bush, 2010. "The World Bank’s approach to increasing the vulnerability of small coffee producers," Global Development Institute Working Paper Series 11310, GDI, The University of Manchester.
• Peter Imkeller & Gonc{c}alo dos Reis & Jianing Zhang, 2010. "Results on numerics for FBSDE with drivers of quadratic growth," Papers 1004.2248, arXiv.org.
• Sebastien Darses & Emmanuel Denis, 2010. "Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate," Working Papers hal-00467704, HAL.