Report NEP-RMG-2003-03-14

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:

• Biais, Bruno & Pouget, Sébastien & Hilton, Denis J., 2002. "Psychological Traits and Trading Strategies," CEPR Discussion Papers 3195, C.E.P.R. Discussion Papers.
• Moore, Michael & Dunne, Peter G & Portes, Richard, 2002. "Defining Benchmark Status: An Application using Euro-Area Bonds," CEPR Discussion Papers 3490, C.E.P.R. Discussion Papers.
• Voth, Hans-Joachim, 2002. "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers 3254, C.E.P.R. Discussion Papers.
• Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002. "Evaluating Style Analysis," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.
• Huizinga, Harry & Nicodème, Gaëtan, 2003. "Deposit Insurance and International Bank Deposits," CEPR Discussion Papers 3244, C.E.P.R. Discussion Papers.
• Biais, Bruno & Mariotti, Thomas, 2002. "Strategic Liquidity Supply and Security Design," CEPR Discussion Papers 3369, C.E.P.R. Discussion Papers.
• Kofman, Paul & Koedijk, Kees & Campbell, Rachel, 2002. "Increased Correlation in Bear markets: A Downside Risk Perspective," CEPR Discussion Papers 3172, C.E.P.R. Discussion Papers.
• Obstfeld, Maurice & Taylor, Alan M., 2003. "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," CEPR Discussion Papers 3688, C.E.P.R. Discussion Papers.
• Yaron, Amir & Gomes, Joao & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers.
• Campbell, John Y & Viceira, Luis & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
• Gomes, Joao & Livdan, Dmitry, 2002. "Optimal Diversification," CEPR Discussion Papers 3461, C.E.P.R. Discussion Papers.
• Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
• Bertola, Giuseppe & Prati, Alessandro & Bartolini, Leonardo, 2002. "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers 3090, C.E.P.R. Discussion Papers.
• Dewatripont, Mathias & Matthews, Steven A, 2002. "Moral Hazard and Capital Structure Dynamics," CEPR Discussion Papers 3487, C.E.P.R. Discussion Papers.
• Cestone, Giacinta, 2002. "Venture Capital Meets Contract Theory: Risky Claims or Formal Control?," CEPR Discussion Papers 3462, C.E.P.R. Discussion Papers.
• Wickens, Michael R. & Smith, Peter N, 2002. "Macroeconomic Sources of FOREX Risk," CEPR Discussion Papers 3148, C.E.P.R. Discussion Papers.
• Martin, Philippe & Rey, Hélène, 2002. "Financial Globalization and Emerging Markets: With or Without Crash?," CEPR Discussion Papers 3378, C.E.P.R. Discussion Papers.
• Beetsma, Roel & Vermeylen, Koen, 2002. "The Effect of Monetary Unification on Public Debt and its Real Return," CEPR Discussion Papers 3491, C.E.P.R. Discussion Papers.
• Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers.
• Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers.
• Gylfason, Thorvaldur, 2002. "The Real Exchange Rate Always Floats," CEPR Discussion Papers 3376, C.E.P.R. Discussion Papers.
• Saunders, Anthony & Acharya, Viral & Hasan, Iftekhar, 2002. "The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios," CEPR Discussion Papers 3252, C.E.P.R. Discussion Papers.
• Inderst, Roman & Mueller, Holger, 2003. "Credit Risk Analysis and Security Design," CEPR Discussion Papers 3686, C.E.P.R. Discussion Papers.
• Kilian, Lutz & Inoue, Atsushi, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
• Stambaugh, Robert F. & Pástor, LuboÅ¡, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
• Blake, David & Timmermann, Allan, 2002. "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers 3464, C.E.P.R. Discussion Papers.
• Gehrig, Thomas & Menkhoff, Lukas, 2002. "The Use of Flow Analysis in Foreign Exchange: Explanatory Analysis," CEPR Discussion Papers 3221, C.E.P.R. Discussion Papers.