Report NEP-RMG-2010-10-09

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:

• Petr Gapko & Martin Šmíd, 2010. "Modeling a Distribution of Mortgage Credit Losses," Working Papers IES 2010/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
• Shyamala Gopinath, 2010. "Macro-prudential Approach to Regulation - Scope and Issues," Working Papers id:2917, eSocialSciences.
• Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
• Norbert Jobst & Dirk Tasche, 2010. "Capital allocation for credit portfolios under normal and stressed market conditions," Papers 1009.5401, arXiv.org, revised Mar 2012.
• Charles Adams, 2010. "The Role of the State in Managing and Forestalling Systemic Financial Crises: Some Issues and Perspectives," Working Papers id:2923, eSocialSciences.
• Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
• Felix Povel, 2010. "Perceived Vulnerability to Downside Risk," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 43, Courant Research Centre PEG.
• Silvia Muzzioli, 2010. "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10091, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Tim Bollerslev & Viktor Todorov, 2010. "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers 2010-64, Department of Economics and Business Economics, Aarhus University.