Report NEP-RMG-2010-06-11

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:

• Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010. "Risk Management of Precious Metals," Working Papers in Economics 10/37, University of Canterbury, Department of Economics and Finance.
• Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Bank of England working papers 388, Bank of England.
• Florian Steiger, 2010. "The Impact of Credit Risk and Implied Volatility on Stock Returns," Papers 1005.5538, arXiv.org.
• Luis H. R. Alvarez & Jani Sainio, 2010. "A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk," Papers 1006.0863, arXiv.org.
• Tsui, L. K., 2010. "Multi-Factor Bottom-Up Model for Pricing Credit Derivatives," MPRA Paper 23090, University Library of Munich, Germany.
• Adam B. Ashcraft & Paul Goldsmith-Pinkham & James Vickery, 2010. "MBS ratings and the mortgage credit boom," Staff Reports 449, Federal Reserve Bank of New York.
• Tiexin Guo, 2010. "Recent progress in random metric theory and its applications to conditional risk measures," Papers 1006.0697, arXiv.org, revised Mar 2011.
• Paula Rocha & Daniel Kuhn, 2010. "Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules," Working Papers 040, COMISEF.
• Klapper, Leora & Laeven, Luc & Rajan, Raghuram, 2010. "Trade credit contracts," Policy Research Working Paper Series 5328, The World Bank.