Report NEP-RMG-2012-11-11

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:

• Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers 832, Kyoto University, Institute of Economic Research.
• Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
• Eichberger, Jürgen & Rheinberger, Klaus & Summer, Martin, 2012. "Credit risk in general equilibrium," Working Paper Series 1445, European Central Bank.
• Vladislav Damjanovic, 2012. "Endogeneous Risk in Monopolistic Competition," Discussion Papers 1208, University of Exeter, Department of Economics.
• Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
• Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
• Chen, Yi-hsuan & Härdle, Wolfgang Karl, 2012. "Common factors in credit defaults swaps markets," SFB 649 Discussion Papers 2012-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 743, Banco de la Republica de Colombia.
• Alberto Elices, 2012. "The role of the Model Validation function to manage and mitigate model risk," Papers 1211.0225, arXiv.org.
• Item repec:hal:wpaper:hal-00746251 is not listed on IDEAS anymore

• Alois Pichler & Alexander Shapiro, 2012. "Uniqueness of Kusuoka Representations," Papers 1210.7257, arXiv.org, revised Feb 2013.
• Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
• Tischer, Sven, 2012. "Measuring the impact of critical incidents on brand personality," SFB 649 Discussion Papers 2012-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
• Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
• LEV RATNOVSKI & Giovanni Dell'Ariccia, 2012. "Bailouts, Contagion, and Bank Risk-Taking," 2012 Meeting Papers 133, Society for Economic Dynamics.
• Lars Peter Hansen, 2012. "Challenges in Identifying and Measuring Systemic Risk," NBER Working Papers 18505, National Bureau of Economic Research, Inc.
• Biais, Bruno & Heider, Florian & Hoerova, Marie, 2012. "Clearing, counterparty risk and aggregate risk," Working Paper Series 1481, European Central Bank.
• Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012. "Trend Following, Risk Parity and Momentum in Commodity Futures," Discussion Papers 12/28, Department of Economics, University of York.
• Item repec:hhs:bofism:2012_044 is not listed on IDEAS anymore

• Marco Bianchetti, 2012. "The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management," Papers 1210.7329, arXiv.org.
• Joan del castillo & Jalila Daoudi & Isabel Serra, 2012. "The full-tails gamma distribution applied to model extreme values," Papers 1211.0130, arXiv.org.