Report NEP-RMG-2012-05-22

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:

• Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
• Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers 09/2012, Deutsche Bundesbank.
• Bülbül, Dilek & Lambert, Claudia, 2012. "Credit portfolio modelling and its effect on capital requirements," Discussion Papers 11/2012, Deutsche Bundesbank.
• Helmy, Mohamed, 2012. "Risk management in Islamic banks," MPRA Paper 38706, University Library of Munich, Germany.
• Item repec:pab:wpbsad:12.07 is not listed on IDEAS anymore

• Puzanova, Natalia, 2011. "A hierarchical model of tail dependent asset returns for assessing portfolio credit risk," Discussion Paper Series 2: Banking and Financial Studies 2011,16, Deutsche Bundesbank.
• Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall," Papers 1205.3482, arXiv.org, revised Dec 2013.
• Neuberger, Doris & Rissi, Roger, 2012. "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory 124, University of Rostock, Institute of Economics.
• Item repec:qut:auncer:2012_5 is not listed on IDEAS anymore

• Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Center for Research in Economics and Statistics.