NEP-RMG-2003-07-13

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Report NEP-RMG-2003-07-13

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 anounced in this report:

C.M. Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Report 325, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Thilo Pausch, 2003. "Bank's Assets and Liabilities Management with Multiple Sources of Risk," Discussion Paper Series 245, Universitaet Augsburg, Institute for Economics. [Downloadable!]
Luis Eduardo Arango & Yanneth R.Betancourth, . "A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt," Borradores de Economia 216, Banco de la Republica de Colombia. [Downloadable!]
Koren, Miklós & Szeidl, Adam, 2003. "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers 3795, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Michael Sattinger, 2003. "Brokers and the Equilibrium Price Function," Discussion Papers 03-11, University at Albany, SUNY, Department of Economics. [Downloadable!]
Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Li Chen & Damir Filipovic, 2003. "Credit Derivatives in an Affine Framework," Finance 0307002, EconWPA. [Downloadable!]
Alberto Carrasquilla & Andrés F. Arias, . "Tipo de Cambio Real en Colombia: ¿Qué pasó?," Borradores de Economia 064, Banco de la Republica de Colombia. [Downloadable!]
A.H. Siegmann, 2003. "Optimal Investment Policies for Defined Benefit Pension Funds," WO Research Memoranda (discontinued) 728, Netherlands Central Bank, Research Department. [Downloadable!]
Huang, Haizhou & Marin, Dalia & Xu, Cheng-Gang, 2003. "Financial Crisis, Economic Recovery and Banking Development in Former Soviet Union Economies," CEPR Discussion Papers 3794, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Working group on Economic Capital Models, 2003. "Risk measurement within financial conglomerates: best practices by risk type," Research Series Supervision (discontinued) 51, Netherlands Central Bank, Directorate Supervision. [Downloadable!]
Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov, 2003. "Value creation, risk management, and real options," CIRANO Burgundy Reports 2003rb-02, CIRANO. [Downloadable!]
Alberto Carrasquilla, . "An Exchange Rate Band in Times of Turbulence: Colombia 1991-96," Borradores de Economia 070, Banco de la Republica de Colombia. [Downloadable!]
Iman van Lelyveld & Arnold Schilder, 2002. "Risk in Financial Conglomerates: Management and Supervision," Research Series Supervision (discontinued) 49, Netherlands Central Bank, Directorate Supervision. [Downloadable!]
Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge. [Downloadable!]
Acharya, Viral V & Yorulmazer, Tanju, 2003. "Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk," CEPR Discussion Papers 3743, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Peter R. Crabb, 2003. "EXCHANGE RATES AND INVESTMENT BY MULTINATIONAL CORPORATIONS: A Firm-Level Test of the Imperfect Capital Markets Result," International Trade 0307001, EconWPA. [Downloadable!]
Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Margarida Abreu, 2003. "Contagion Phenomena in Financial Crises: Evidence from the Portuguese and Spanish Exchange Rate Crises in the Early Nineties," Working Papers 2003/05, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]

This page was last updated on 2009-11-29.

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