Report NEP-RMG-2003-07-13

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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• Item repec:dgr:eureir:2003325 is not listed on IDEAS anymore

• Thilo Pausch, 2003. "Bank's Assets and Liabilities Management with Multiple Sources of Risk," Discussion Paper Series 245, Universitaet Augsburg, Institute for Economics.
• Luis Eduardo Arango & Yanneth R.Betancourth, 2002. "A Signal of Imperfect Portfolio Capital Adjustments from the Relationship Between Yields of Domestic and Foreign Colombian Debt," Borradores de Economia 216, Banco de la Republica de Colombia.
• Koren, Miklós & Szeidl, Adam, 2003. "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers 3795, C.E.P.R. Discussion Papers.
• Michael Sattinger, 2003. "Brokers and the Equilibrium Price Function," Discussion Papers 03-11, University at Albany, SUNY, Department of Economics.
• Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
• Li Chen & Damir Filipovic, 2003. "Credit Derivatives in an Affine Framework," Finance 0307002, University Library of Munich, Germany.
• Alberto Carrasquilla & Andrés F. Arias, 1996. "Tipo de Cambio Real en Colombia: ¿Qué pasó?," Borradores de Economia 064, Banco de la Republica de Colombia.
• A.H. Siegmann, 2003. "Optimal Investment Policies for Defined Benefit Pension Funds," WO Research Memoranda (discontinued) 728, Netherlands Central Bank, Research Department.
• Marin, Dalia & Xu, Cheng-Gang & Huang, Haizhou, 2003. "Financial Crisis, Economic Recovery and Banking Development in Former Soviet Union Economies," CEPR Discussion Papers 3794, C.E.P.R. Discussion Papers.
• Working group on Economic Capital Models, 2003. "Risk measurement within financial conglomerates: best practices by risk type," Research Series Supervision (discontinued) 51, Netherlands Central Bank, Directorate Supervision.
• Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
• Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov, 2003. "Value creation, risk management, and real options," CIRANO Burgundy Reports 2003rb-02, CIRANO.
• Alberto Carrasquilla, 1997. "An Exchange Rate Band in Times of Turbulence: Colombia 1991-96," Borradores de Economia 070, Banco de la Republica de Colombia.
• Iman van Lelyveld & Arnold Schilder, 2002. "Risk in Financial Conglomerates: Management and Supervision," Research Series Supervision (discontinued) 49, Netherlands Central Bank, Directorate Supervision.
• Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge.
• Acharya, Viral & Yorulmazer, Tanju, 2003. "Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk," CEPR Discussion Papers 3743, C.E.P.R. Discussion Papers.
• Peter R. Crabb, 2003. "EXCHANGE RATES AND INVESTMENT BY MULTINATIONAL CORPORATIONS: A Firm-Level Test of the Imperfect Capital Markets Result," International Trade 0307001, University Library of Munich, Germany.
• Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers.
• Margarida Abreu, 2003. "Contagion Phenomena in Financial Crises: Evidence from the Portuguese and Spanish Exchange Rate Crises in the Early Nineties," Working Papers Department of Economics 2003/05, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.