Report NEP-RMG-2003-08-31

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:

• Vicki Knoblauch, 2003. "Continuous Lexicographic Preferences," Working papers 2003-31, University of Connecticut, Department of Economics.
• David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre.
• Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre.
• Samuel Copt & Maria-Pia Victoria-Feser, 2003. "Variable Fast algorithms for computing high breakdown covariance matrices with missing data," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2003.04, Institut d'Economie et Econométrie, Université de Genève.
• Kris Jacobs & Xiaofei Li, 2003. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers 2003s-51, CIRANO.
• Vlad Makhankov, 2003. "A Self-Consistent Model for the Forward Price Dynamics," Econometrics 0308005, University Library of Munich, Germany.
• Hayette Gatfaoui, 2003. "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance 0308007, University Library of Munich, Germany.
• Jeannette H.C. Woerner, 2002. "Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models," OFRC Working Papers Series 2002mf05, Oxford Financial Research Centre.
• Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, University Library of Munich, Germany.
• Vicky Henderson, 2002. "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series 2002mf03, Oxford Financial Research Centre.
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 2003-09, Universite de Montreal, Departement de sciences economiques.
• Miroslav Misina, 2003. "What Does the Risk-Appetite Index Measure?," Staff Working Papers 03-23, Bank of Canada.
• Vicky Henderson & David Hobson, 2002. "Coupling and Option Price Comparisons in a Jump-Diffusion model," OFRC Working Papers Series 2002mf01, Oxford Financial Research Centre.
• Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
• Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, University Library of Munich, Germany.
• Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003. "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series 2003mf07, Oxford Financial Research Centre.
• Schnabel, Isabel, 2002. "The Great Banks` Depression - Deposit Withdrawals in the German Crisis of 1931," Sonderforschungsbereich 504 Publications 03-11, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• Philippe Huber & Elvezio Ronchetti & Maria-Pia Victoria-Feser, 2003. "Variable Estimation of Generalized Linear Latent Variable Models," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2003.05, Institut d'Economie et Econométrie, Université de Genève.
• ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.