Report NEP-RMG-2006-02-05This 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.
The following items were announced in this report:
- Marie-Paule Laurent, 2004. "Asset return correlation in Basel II: implications for credit risk management," Working Papers CEB 04-017.RS, ULB -- Universite Libre de Bruxelles.
- Item repec:pas:camaaa:2006-05 is not listed on IDEAS anymore
- Matos, Joao Amaro de & Lacerda, Ana, 2006. "Dry Markets and Statistical Arbitrage Bounds for European Derivatives," FEUNL Working Paper Series wp479, Universidade Nova de Lisboa, Faculdade de Economia.
- Refet S. Gürkaynak & Justin Wolfers, 2005. "Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk," Working Paper Series 2005-26, Federal Reserve Bank of San Francisco.