Report NEP-RMG-2010-10-23

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.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
• Roberto Violi, 2010. "Credit ratings in structured finance and the role of systemic risk," Temi di discussione (Economic working papers) 774, Bank of Italy, Economic Research and International Relations Area.
• Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Benjamin M. Tabak & Dimas M. Fazio & Daniel O. Cajueiro, 2010. "The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk," Working Papers Series 215, Central Bank of Brazil, Research Department.
• Alexie Alupoaiei, 2010. "Analyzing Asymetric Dependence in Exchange Rates using Copula," Advances in Economic and Financial Research - DOFIN Working Paper Series 44, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
• Helder Ferreira de Mendonça & Délio José Cordeiro Galvão & Renato Falci Villela Loures, 2010. "Estimation of Economic Capital Concerning Operational Risk in a Brazilian Banking Industry Case," Working Papers Series 213, Central Bank of Brazil, Research Department.
• L. Spadafora & G. P. Berman & F. Borgonovi, 2010. "Do your volatility smiles take care of extreme events?," Papers 1010.2184, arXiv.org.
• Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009. "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper 25772, University Library of Munich, Germany.
• Bogdan Chiriacescu, 2010. "Credit risk modeling – a macro perspective," Advances in Economic and Financial Research - DOFIN Working Paper Series 46, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
• Antonella Campana & Paola Ferretti, 2010. "Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements," Working Papers 203, Department of Applied Mathematics, Università Ca' Foscari Venezia.
• Richard Watt & Francisco J. Vazquez, 2010. "Allocative Downside Risk Aversion," Working Papers in Economics 10/61, University of Canterbury, Department of Economics and Finance.
• Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.