Report NEP-RMG-2011-02-26

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:

• Item repec:dgr:uvatin:20100004 is not listed on IDEAS anymore

• Patrick Bolton & Hui Chen & Neng Wang, 2011. "Market Timing, Investment, and Risk Management," NBER Working Papers 16808, National Bureau of Economic Research, Inc.
• Alberto Elices & Eduard Gim'enez, 2011. "Applying hedging strategies to estimate model risk and provision calculation," Papers 1102.3534, arXiv.org, revised Oct 2012.
• Tzahi Yavin & Hu Zhang & Eugene Wang & Michael A. Clayton, 2011. "Transition Probability Matrix Methodology for Incremental Risk Charge," Papers 1102.3857, arXiv.org.
• Michael C. Munnix & Rudi Schafer & Thomas Guhr, 2011. "A Random Matrix Approach to Credit Risk," Papers 1102.3900, arXiv.org, revised Jun 2011.
• Rudi Schafer & Alexander F. R. Koivusalo, 2011. "Dependence of defaults and recoveries in structural credit risk models," Papers 1102.3150, arXiv.org, revised Mar 2011.
• Blake, David & Brockett, Patrick & Cox, Samuel & MacMinn, Richard, 2011. "Longevity risk and capital markets: The 2009-2010 update," MPRA Paper 28868, University Library of Munich, Germany.
• Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
• Jeroen Klomp & Jacob de Haan, 2010. "Banking risk and regulation: Does one size fit all?," CPB Discussion Paper 164, CPB Netherlands Bureau for Economic Policy Analysis.
• Gareth W. Peters & Pavel Shevchenko & Mark Young & Wendy Yip, 2011. "Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation," Papers 1102.3582, arXiv.org.
• Item repec:dgr:uvatin:20100082 is not listed on IDEAS anymore

• Coffinet, J. & Coudert, V. & Pop, A. & Pouvelle, C., 2011. "Two-way interplays between capital buffers, credit and output: evidence from French banks," Working papers 316, Banque de France.
• Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011. "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 11-004/4, Tinbergen Institute.
• Blake LeBaron, 2010. "Searching For Lost Decades," Working Papers 30, Brandeis University, Department of Economics and International Business School.
• Joanna Janczura & Rafal Weron, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," Papers 1102.3712, arXiv.org.