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Report NEP-RMG-2003-10-28
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:
- Item repec:cdl:ucsdec:2003-09 is not listed on IDEAS anymore
- Pilar Abad & Alfonso Novales, 2002, "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0222.
- M. Martin Boyer, 2003, "Directors' and Officers' Insurance and Shareholders' Protection," CIRANO Working Papers, CIRANO, number 2003s-64, Oct.
- Alain P. Chaboud & Owen F. Humpage, 2003, "An analysis of Japanese foreign exchange interventions, 1991-2002," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 0309, DOI: 10.26509/frbc-wp-200309.
- Alfonso Novales & Emilio Domínguez, 2002, "A factor model of term structure slopes in eurocurrency markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0224.
- Alfonso Novales & Pilar Abad, 2002, "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0219.
- Nick Webber & Claudia Ribeiro, 2003, "Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge," Computing in Economics and Finance 2003, Society for Computational Economics, number 4, Aug.
- Nick Webber & Claudia Ribeiro, 2003, "A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge," Computing in Economics and Finance 2003, Society for Computational Economics, number 5, Aug.
- Item repec:cdl:ucsdec:2003-12 is not listed on IDEAS anymore
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003, "Short run and long run causality in time series: Inference," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-16.
- Roberto Perli & Brian P. Sack, 2003, "Does mortgage hedging amplify movements in long-term interest rates?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2003-49.
- P N Smith & S Sorensen & M R Wickens, , "Macroeconomic Sources of Equity Risk," Discussion Papers, Department of Economics, University of York, number 03/13.
- J. Christina Wang, 2003, "Loanable funds, risk, and bank service output," Working Papers, Federal Reserve Bank of Boston, number 03-4.
- Patrick de Fontnouvelle & Virginia DeJesus-Rueff & John S. Jordan & Eric Rosengren, 2003, "Capital and risk: new evidence on implications of large operational losses," Working Papers, Federal Reserve Bank of Boston, number 03-5.
- Jesus Rodriguez Lopez & Hugo Rodriguez Mendizabal, 2003, "How tight should one's hands be tied? Fear of floating and credibility of exchange rate regimes," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 593.03, Oct.
- Juan Ángel Lafuente & Jesús Ruiz, 2002, "The New Market Effect on Return and Volatility of Spanish Sector Indexes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0213.
- Alfonso Novales & J.A. Lafuente, 2002, "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0223.
- Rafael Caballero & Emilio Cerdá & Mª del Mar Muñoz & Lourdes Rey, 2002, "Stochastic Approach versus Multiobjective Approach for Obtaining Efficient Solutions in Stochastic Multiobjective Programming Problems," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0217.
- Jon Wongswan, 2003, "Contagion: an empirical test," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 775.
- Luisa Nieto & Mª Dolores Robles Fernández & Ángeles Fernández, 2002, "Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0208.
- Rodrigo Cifuentes, 2003, "Banking Concentration: Implications for Systemic Risk and Safety Net Design," Working Papers Central Bank of Chile, Central Bank of Chile, number 231, Oct.
- Pilar Abad & Alfonso Novales, 2002, "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0220.
- Item repec:cte:wsrepe:ws035212 is not listed on IDEAS anymore
- Alfonso Novales & Emilio Domínguez, 2002, "Can forward rates be used to improve interest rate forecasts?"," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0225.
- Hui Guo & Robert Savickas, 2003, "Does idiosyncratic risk matter: another look," Working Papers, Federal Reserve Bank of St. Louis, number 2003-025, DOI: 10.20955/wp.2003.025.