Report NEP-RMG-2012-04-23

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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Sofiya Avramova & Vanessa Le Leslé, 2012. "Revisiting Risk-Weighted Assets," IMF Working Papers 12/90, International Monetary Fund.
• Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452, arXiv.org.
• Zuzana Fungáèová & Petr Jakubík, 2012. "Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia," Working Papers IES 2012/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2012.
• Wahyu Yuwana Hidayat & Makoto Kakinaka & Hiroaki Miyamoto, 2012. "Bank Risk and Non-Interest Income Activities in the Indonesian Banking Industry," Working Papers EMS_2012_03, Research Institute, International University of Japan.
• Lingfei Li & Vadim Linetsky, 2012. "Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models," Papers 1204.3679, arXiv.org.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers 2012.23, Fondazione Eni Enrico Mattei.