Report NEP-RMG-2011-05-14

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:

• Alexandra Schwarz, 2011. "Measurement, Monitoring, and Forecasting of Consumer Credit Default Risk - An Indicator Approach Based on Individual Payment Histories," Schumpeter Discussion Papers sdp11004, Universitätsbibliothek Wuppertal, University Library.
• Christian Schmieder & Maher Hasan & Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 11/83, International Monetary Fund.
• International Monetary Fund, 2011. "Fat-Tails and their (Un)Happy Endings; Correlation Bias and its Implications for Systemic Risk and Prudential Regulation," IMF Working Papers 11/82, International Monetary Fund.
• Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Econometrics and Statistics 4/11, University of Cologne, Institute of Econometrics and Statistics.
• Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," Discussion Papers in Econometrics and Statistics 3/11, University of Cologne, Institute of Econometrics and Statistics.
• di Iasio, Giovanni & Quagliariello, Mario, 2011. "Incentives through the cycle: microfounded macroprudential regulation," MPRA Paper 30769, University Library of Munich, Germany.
• Miguel A. Segoviano & Raphael A Espinoza, 2011. "Probabilities of Default and the Market Price of Risk in a Distressed Economy," IMF Working Papers 11/75, International Monetary Fund.
• Item repec:dgr:kubcen:2011036 is not listed on IDEAS anymore

• Leonard Nakamura, 2011. "Durable Financial Regulation: Monitoring Financial Instruments as a Counterpart to Regulating Financial Institutions," NBER Working Papers 17006, National Bureau of Economic Research, Inc.
• Onour, Ibrahim, 2011. "الخيارات وإدارة المخاطر فى أسواق السلع: دعوة لرؤية جديدة [Options as Islamic Financial Derivative: Thoughts provoking discussion]," MPRA Paper 30707, University Library of Munich, Germany.
• Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
• Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.
• Romney B. Duffey, 2011. "The Quantification of Systemic Risk and Stability: New Methods and Measures," NBER Working Papers 17022, National Bureau of Economic Research, Inc.
• Frahm, Gabriel & Wiechers, Christof, 2011. "On the diversification of portfolios of risky assets," Discussion Papers in Econometrics and Statistics 2/11, University of Cologne, Institute of Econometrics and Statistics.
• Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.