Report NEP-RMG-2010-07-10

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:

• Jakub Seidler & Petr Jakubik, 2009. "The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic," Working Papers 2009/13, Czech National Bank.
• Hui Chen, 2010. "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure," NBER Working Papers 16151, National Bureau of Economic Research, Inc.
• Stein, Jerome L., 2010. "Alan Greenspan, the quants and stochastic optimal control," Economics Discussion Papers 2010-17, Kiel Institute for the World Economy (IfW Kiel).
• Cappa, Leonardo & Pereira, Pedro L. Valls, 2010. "Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência," Textos para discussão 258, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
• Shubhabrata Das & Marie Kratz, 2010. "Alarm System for Insurance Companies: A Strategy for Capital Allocation," Papers 1006.5473, arXiv.org.
• Chiara Pederzoli & Costanza Torricelli, 2010. "A parsimonious default prediction model for Italian SMEs," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Marie Lambert & George Hübner, 2010. "How to Construct Fundamental Risk Factors?," LSF Research Working Paper Series 10-01, Luxembourg School of Finance, University of Luxembourg.
• Schuetz, Sebastian Alexander, 2010. "Structured Finance Influence on Financial Market Stability – Evaluation of Current Regulatory Developments," MPRA Paper 23574, University Library of Munich, Germany.
• Marie Lambert & George Hübner, 2010. "Comoment Risk and Stock Returns," LSF Research Working Paper Series 10-02, Luxembourg School of Finance, University of Luxembourg.
• Marco Bardoscia & Roberto Bellotti, 2010. "A Dynamical Model for Forecasting Operational Losses," Papers 1007.0026, arXiv.org, revised Feb 2012.
• Eric Tymoigne, 2010. "Detecting Ponzi Finance: An Evolutionary Approach to the Measure of Financial Fragility," Economics Working Paper Archive wp_605, Levy Economics Institute.