Report NEP-RMG-2005-04-16

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Other reports in NEP-RMG

The following items were anounced in this report:

• Olivier SCAILLET, 2004. "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series rp112, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering. [Downloadable!]
• Chae-Shick Chung & Doo Yong Yang, 2004. "Exchange Rate Volatilities and Time-varying Risk Premium in East Asia," Macroeconomics Working Papers 122, East Asian Bureau of Economic Research. [Downloadable!]
• Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA. [Downloadable!]
• Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA. [Downloadable!]
• Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
• rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance 0502010, EconWPA. [Downloadable!]
• Cornelis A. Los, 2005. "Measurement of Financial Risk Persistence," Finance 0502013, EconWPA. [Downloadable!]
• Marcos Mailoc López de Prado & Achim Peijan, 2005. "Measuring Loss Potential of Hedge Fund Strategies," Finance 0503010, EconWPA. [Downloadable!]
• Norbert_Jobst & Arnaud_de_Servigny, 2005. "An Empirical Analysis of Equity Default Swaps (II): Multivariate Insights," Finance 0503025, EconWPA. [Downloadable!]
• Sebastián Alberto Rey & Javier Ignacio García-Fronti & María Teresa Casparri, 2005. "Liquidity Risk Estimation Using Fuzzy Measure Theory," Finance 0504012, EconWPA. [Downloadable!]
• Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance 0501003, EconWPA. [Downloadable!]
• Lucjan T Orlowski, 2005. "Monetary Convergence And Risk Premiums In The EU Candidate Countries," Macroeconomics 0501037, EconWPA. [Downloadable!]
• Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, EconWPA. [Downloadable!]
• William N. Goetzmann & Roger Ibbotson, 2005. "History and the Equity Risk Premium," Yale School of Management Working Papers ysm448, Yale School of Management. [Downloadable!]
• William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management. [Downloadable!]
• Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank, Research Department. [Downloadable!]
• Alexis Derviz & Jiri Podpiera, 2004. "Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic," Working Papers 2004/01, Czech National Bank, Research Department. [Downloadable!]

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