Report NEP-RMG-2003-02-18

This 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.

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Other reports in NEP-RMG

The following items were announced in this report:

• Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
• Miller, Marcus & corrado, luisa, 2002. "Exchange Rate Monitoring Bands: Theory and Policy," CEPR Discussion Papers 3337, C.E.P.R. Discussion Papers.
• Eric van Wincoop & Philippe Bacchetta, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," NBER Working Papers 9498, National Bureau of Economic Research, Inc.
• Hollifield, Burton & SandÃ¥s, Patrik & Miller, Robert A. & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
• Miller, Marcus & García-Fronti, Javier, 2002. "Sovereign Default By Argentina: 'Slow Motion Train Crash' or Self-Fulfilling Crisis?," CEPR Discussion Papers 3399, C.E.P.R. Discussion Papers.
• Shin, Hyun Song, 2002. "Disclosures and Asset Returns," CEPR Discussion Papers 3345, C.E.P.R. Discussion Papers.
• Galasso, Vincenzo & D'Amato, Marcello, 2002. "Aggregate Risk, Political Constraints and Social Security Design," CEPR Discussion Papers 3330, C.E.P.R. Discussion Papers.
• Boot, Arnoud & Milbourn, Todd, 2002. "Credit Ratings as Coordination Mechanism," CEPR Discussion Papers 3331, C.E.P.R. Discussion Papers.
• María Jesús Segovia Vargas & José Antonio Gil Fana & Antonio José Heras Martínez & José Luis Vilar Zanón & Alicia Sanchis Arellano, 2003. "Using rough sets to predict insolvency of Spanish non-life insurance companies," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 03-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
• Bask, Mikael, 2003. "Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates," Umeå Economic Studies 605, Umeå University, Department of Economics.
• Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
• Andrei Shleifer, 2003. "Will the Sovereign Debt Market Survive?," NBER Working Papers 9493, National Bureau of Economic Research, Inc.
• Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
• W. Kip Viscusi & Joseph E. Aldy, 2003. "The Value of a Statistical Life: A Critical Review of Market Estimates throughout the World," NBER Working Papers 9487, National Bureau of Economic Research, Inc.
• Uppal, Raman & Kogan, Leonid, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
• Dellas, Harris & Hess, Martin, 2002. "Financial Development and Stock Returns: A Cross-Country Analysis," CEPR Discussion Papers 3681, C.E.P.R. Discussion Papers.
• Sonin, Konstantin & Mikusheva, Anna, 2002. "Information Revelation and Efficiency in Auctions," CEPR Discussion Papers 3675, C.E.P.R. Discussion Papers.
• Wolff, Christian & Bams, Dennis & Lehnert, Thorsten, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers.
• Acharya, Viral & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers.
• Ronald McKinnon & Gunther Schnabl, 2003. "The East Asian Dollar Standard, Fear of Floating, and Original Sin," Working Papers 03001, Stanford University, Department of Economics.
• Basak, Suleyman & Shapiro, Alex, 2002. "A Model of Credit Risk, Optimal Policies and Asset Prices," CEPR Discussion Papers 3413, C.E.P.R. Discussion Papers.
• Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
• Guiso, Luigi & Bertola, Giuseppe & Pistaferri, Luigi, 2002. "Uncertainty and Consumer Durables Adjustment," CEPR Discussion Papers 3332, C.E.P.R. Discussion Papers.
• María Jesús Segovia Vargas & José Antonio Fil Fana & Antonio José Heras Martínez & José Luis Vilar Zanón, 2003. "Predicción de insolvencias con el método Rough Set," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 03-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
• Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers.