Report NEP-FMK-2007-06-18This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Kwang Soo Cheong issued this report. It is usually issued weekly.
The following items were announced in this report:
- Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Working Papers 0712, Banco de España;Working Papers Homepage.
- Clotilde Napp & Elyès Jouini, 2006. "Arbitrage with fixed costs and interest rate models," Post-Print halshs-00151556, HAL.
- Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
- Nikola A. Tarashev, 2005. "An empirical evaluation of structural credit risk models," BIS Working Papers 179, Bank for International Settlements.
- Marian Micu & Eli M Remolona & Philip D. Wooldridge, 2006. "The price impact of rating announcements: which announcements matter?," BIS Working Papers 207, Bank for International Settlements.
- Nikola A. Tarashev & Haibin Zhu, 2006. "The pricing of portfolio credit risk," BIS Working Papers 214, Bank for International Settlements.