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Report NEP-RMG-2005-05-23
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:
- Gianluca Cassesse & Massimo Guidolin, 2005, "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers, Federal Reserve Bank of St. Louis, number 2005-008, DOI: 10.20955/wp.2005.008.
- Silvia Goncalves & Massimo Guidolin, 2005, "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers, Federal Reserve Bank of St. Louis, number 2005-010, DOI: 10.20955/wp.2005.010.
- Hui Guo & Jason Higbee & Christopher J. Neely, 2006, "Foreign exchange volatility is priced in equities," Working Papers, Federal Reserve Bank of St. Louis, number 2004-029, DOI: 10.20955/wp.2004.029.
- Paul S. Calem & James R. Follain, 2003, "The asset-correlation parameter in Basel II for mortgages on single-family residences," Basel II White Paper, Board of Governors of the Federal Reserve System (U.S.), number 5.
- João Fernandes, 2005, "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance, University Library of Munich, Germany, number 0505013, May.
- Massimo Guidolin & Allan Timmerman, 2005, "Term structure of risk under alternative econometric specifications," Working Papers, Federal Reserve Bank of St. Louis, number 2005-001, DOI: 10.20955/wp.2005.001.
- Massimo Guidolin & Allan Timmerman, 2005, "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers, Federal Reserve Bank of St. Louis, number 2005-006, DOI: 10.20955/wp.2005.006.
- Massimo Guidolin & Allan Timmerman, 2005, "Size and value anomalies under regime shifts," Working Papers, Federal Reserve Bank of St. Louis, number 2005-007, DOI: 10.20955/wp.2005.007.
- Pierluigi Balduzzi & Cesare Robotti, 2005, "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-04.
- Chen-Miao Lin & Stephen D. Smith, 2005, "Hedging, financing, and investment decisions: a simultaneous equations framework," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-05.
- Item repec:fip:fedbwp:1 is not listed on IDEAS anymore
- Item repec:fip:fedfap:2004-19 is not listed on IDEAS anymore
- Item repec:fip:fedfap:2004-25 is not listed on IDEAS anymore
- Item repec:fip:fedfpb:2004-34 is not listed on IDEAS anymore
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-56.
- Sean D. Campbell & Canlin Li, 2004, "Alternative estimates of the presidential premium," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-69.
- Daniel M. Covitz & Song Han, 2004, "An empirical analysis of bond recovery rates: exploring a structural view of default," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2005-10.
- Ryoichi Ikeda & Takao Kobayashi & Akihiko Takahashi, 2005, ""Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts" (in Japanese)," CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-J-131, May.
- Eichberger, Jürgen & Summer, Martin, 2004, "Bank Capital, Liquidity and Systemic Risk," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 04-45, Nov.