Report NEP-RMG-2010-09-11

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:

• Marco Bee & Fabrizio Miorelli, 2010. "Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis," Department of Economics Working Papers 1009, Department of Economics, University of Trento, Italia.
• Item repec:hal:cesptp:halshs-00511995_v1 is not listed on IDEAS anymore

• Benjamin Lorent, 2010. "Insurance Solvency Regulation: Regulatory Approaches Compared," Working Papers CEB 10-041, ULB -- Universite Libre de Bruxelles.
• Haase, Joerdis & Ilg, Melanie & Werner, Ralf, 2010. "Model-free bounds on bilateral counterparty valuation," MPRA Paper 24796, University Library of Munich, Germany.
• Item repec:hhs:bofrdp:2010_014 is not listed on IDEAS anymore

• Ghosh, Saibal, 2010. "Credit Growth, Bank Soundness and Financial Fragility: Evidence from Indian Banking Sector," MPRA Paper 24715, University Library of Munich, Germany.
• Item repec:dgr:kubcen:201089s is not listed on IDEAS anymore

• Ojo, Marianne, 2010. "Measures aimed at mitigating pro cyclical effects of the Capital Requirements Framework: counter cyclical capital buffer proposals," MPRA Paper 24610, University Library of Munich, Germany.
• Item repec:eab:macroe:2252 is not listed on IDEAS anymore

• Item repec:cdl:agrebk:1326477 is not listed on IDEAS anymore

• Bent Jesper Christensen & Petra Posedel, 2010. "The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model," CREATES Research Papers 2010-50, Department of Economics and Business Economics, Aarhus University.
• Masaaki Fukasawa, 2010. "Normalization for Implied Volatility," Papers 1008.5055, arXiv.org, revised Sep 2010.
• Claudio Borio & Bent Vale & Goetz von Peter, 2010. "Resolving the financial crisis: are we heeding the lessons from the Nordics?," Working Paper 2010/17, Norges Bank.