Report NEP-RMG-2005-06-05This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Carolyn Currie, 2005. "A Test of the Strategic Effect of Basel II Operational Risk Requirements on Banks," Working Paper Series 141, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, EconWPA, revised 18 Nov 2005.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
- Robert J. Barro, 2005. "Rare Events and the Equity Premium," NBER Working Papers 11310, National Bureau of Economic Research, Inc.
- Elisa Luciano, 2005. "Calibrating risk-neutral default correlation," ICER Working Papers - Applied Mathematics Series 12-2005, ICER - International Centre for Economic Research.
- Pesaran, M.H. & Schuermann, T. & Treutler, B-J., 2005. "The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification," Cambridge Working Papers in Economics 0529, Faculty of Economics, University of Cambridge.
- Alejandro Corvalán, 2005. "Mixed Tactical Asset Allocation," Working Papers Central Bank of Chile 323, Central Bank of Chile.
- Diego Comin & Thomas Philippon, 2005. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers 11388, National Bureau of Economic Research, Inc.
- Ari A. Perdana, 2005. "Risk management for the poor and vulnerable," CSIS Economics Working Paper Series WPE093, Centre for Strategic and International Studies, Jakarta, Indonesia.
- Yusuke Osaki, 2005. "Dependent Background Risks and Asset Prices," Discussion Papers in Economics and Business 05-13, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).