Printed from https://ideas.repec.org/n/nep-rmg/2003-08-31.html
Report NEP-RMG-2003-08-31
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:
- Vicki Knoblauch, 2003, "Continuous Lexicographic Preferences," Working papers, University of Connecticut, Department of Economics, number 2003-31, Aug.
- David Bakstein & Sam Howison, 2002, "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf02.
- Alvaro Cartea & Sam Howison, 2002, "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf04.
- Item repec:gen:geneem:2003.04 is not listed on IDEAS anymore
- Kris Jacobs & Xiaofei Li, 2003, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers, CIRANO, number 2003s-51, Aug.
- Vlad Makhankov, 2003, "A Self-Consistent Model for the Forward Price Dynamics," Econometrics, University Library of Munich, Germany, number 0308005, Aug.
- Hayette Gatfaoui, 2003, "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance, University Library of Munich, Germany, number 0308007, Aug.
- Jeannette H.C. Woerner, 2002, "Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf05.
- Hayette Gatfaoui, 2003, "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance, University Library of Munich, Germany, number 0308003, Aug.
- Vicky Henderson, 2002, "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf03.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003, "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-09.
- Miroslav Misina, 2003, "What Does the Risk-Appetite Index Measure?," Staff Working Papers, Bank of Canada, number 03-23, DOI: 10.34989/swp-2003-23.
- Vicky Henderson & David Hobson, 2002, "Coupling and Option Price Comparisons in a Jump-Diffusion model," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf01.
- Peter Christoffersen & Steve Heston & Kris Jacobs, 2003, "Option Valuation with Conditional Skewness," CIRANO Working Papers, CIRANO, number 2003s-50, Aug.
- Hayette Gatfaoui, 2003, "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance, University Library of Munich, Germany, number 0308004, Aug.
- Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003, "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series, Oxford Financial Research Centre, number 2003mf07.
- Schnabel, Isabel, 2002, "The Great Banks` Depression - Deposit Withdrawals in the German Crisis of 1931," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 03-11, Dec.
- Item repec:gen:geneem:2003.05 is not listed on IDEAS anymore
- ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003, "Aversion Analysis," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-06.