Report NEP-RMG-2003-03-14

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report:

• Biais, Bruno & Pouget, Sébastien & Hilton, Denis J., 2002, "Psychological Traits and Trading Strategies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3195, Feb.
• Moore, Michael & Dunne, Peter G & Portes, Richard, 2002, "Defining Benchmark Status: An Application using Euro-Area Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3490, Aug.
• Voth, Hans-Joachim, 2002, "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3254, Mar.
• Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002, "Evaluating Style Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3181, Jan.
• Huizinga, Harry & Nicodème, Gaëtan, 2003, "Deposit Insurance and International Bank Deposits," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3244, Mar.
• Biais, Bruno & Mariotti, Thomas, 2002, "Strategic Liquidity Supply and Security Design," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3369, May.
• Kofman, Paul & Koedijk, Kees & Campbell, Rachel, 2002, "Increased Correlation in Bear markets: A Downside Risk Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3172, Jan.
• Obstfeld, Maurice & Taylor, Alan M., 2003, "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3688, Jan.
• Yaron, Amir & Gomes, Joao & Zhang, Lu, 2002, "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3495, Aug.
• Campbell, John Y & Viceira, Luis & White, Josh S., 2002, "Foreign Currency for Long-Term Investors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3463, Jul.
• Gomes, Joao & Livdan, Dmitry, 2002, "Optimal Diversification," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3461, Jul.
• Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio, 2002, "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3281, Mar.
• Bertola, Giuseppe & Prati, Alessandro & Bartolini, Leonardo, 2002, "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3090, Feb.
• Dewatripont, Mathias & Matthews, Steven A, 2002, "Moral Hazard and Capital Structure Dynamics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3487, Aug.
• Cestone, Giacinta, 2002, "Venture Capital Meets Contract Theory: Risky Claims or Formal Control?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3462, Jul.
• Wickens, Michael R. & Smith, Peter N, 2002, "Macroeconomic Sources of FOREX Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3148, Jan.
• Martin, Philippe & Rey, Hélène, 2002, "Financial Globalization and Emerging Markets: With or Without Crash?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3378, May.
• Beetsma, Roel & Vermeylen, Koen, 2002, "The Effect of Monetary Unification on Public Debt and its Real Return," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3491, Aug.
• Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002, "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3173, Jan.
• Dahlquist, Magnus & Sallstrom, Torbjorn, 2002, "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3145, Jan.
• Gylfason, Thorvaldur, 2002, "The Real Exchange Rate Always Floats," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3376, May.
• Saunders, Anthony & Acharya, Viral & Hasan, Iftekhar, 2002, "The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3252, Mar.
• Inderst, Roman & Mueller, Holger, 2003, "Credit Risk Analysis and Security Design," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3686, Feb.
• Kilian, Lutz & Inoue, Atsushi, 2002, "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3671, Dec.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2002, "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3494, Aug.
• Blake, David & Timmermann, Allan, 2002, "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3464, Jul.
• Gehrig, Thomas & Menkhoff, Lukas, 2002, "The Use of Flow Analysis in Foreign Exchange: Explanatory Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3221, Feb.

Report NEP-RMG-2003-03-14

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-RMG

The following items were announced in this report: