Report NEP-RMG-2003-10-20

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:

• Donald P. Morgan & Philip E. Strahan, 2003. "Foreign Bank Entry and Business Volatility: Evidence from U.S. States and Other Countries," Working Papers Central Bank of Chile 229, Central Bank of Chile.
• Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Christopher Rude, 2002. "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002 119, Society for Computational Economics.
• J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics.
• Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
• Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Wasseem Mina & Jorge Martinez-Vazquez, 2002. "IMF Lending, Maturity of International Debt and Moral Hazard," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0301, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• Fajardo, J. & Mordeckiy, E., 2003. "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers flwp_56, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Yoram Louzoun & Sorin Solomon, 2002. "Power Law Volatility Auto-Correlations in Stochastic Logistic Systems," Computing in Economics and Finance 2002 202, Society for Computational Economics.
• Ariadna Dumitrescu, 2003. "Valuation of Defaultable Bonds and Debt Restructuring," UFAE and IAE Working Papers 590.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• Neven Valev, 2002. "Lender Heterogeneity and the Maturity of International Loans," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0211, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• Asli Demirgüç-Kun & Edward J. Kane, 2003. "Deposit Insurance: Handle With Care," Working Papers Central Bank of Chile 227, Central Bank of Chile.
• Albrecht, Peter & Weber II, Carsten, 2003. "Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees," Sonderforschungsbereich 504 Publications 03-19, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
• M. A. Kaboudan, 2003. "Genetic Programming Software to Forecast Time Series," Computing in Economics and Finance 2003 97, Society for Computational Economics.
• Marney J.P. & Fyfe C. & Tarbert H., 2002. "Risk Adjusted Returns And Technical Trading Rules From Data Projection," Computing in Economics and Finance 2002 53, Society for Computational Economics.
• H. Vincent Poor & Li Chen, 2003. "Parametric Estimation of Quadratic Term Structure Models of Interest Rates," Computing in Economics and Finance 2003 22, Society for Computational Economics.
• Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, University Library of Munich, Germany.
• Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Araujo, A. & Fajardo, J & Páscoa, M. R., 2003. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers flwp_52, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
• Item repec:cep:cepdps:0537 is not listed on IDEAS anymore

• Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics.
• Alfredo Ibáñez, 2002. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Computing in Economics and Finance 2002 114, Society for Computational Economics.
• Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Insper Instituto de Ensino e Pesquisa.
• Man-Chung CHAN & Chi-Cheong WONG & Bernard K-S Cheung & Gordon Y-N Tang, 2002. "Genetic Algorithms in Multi-Stage Portfolio Optimization System," Computing in Economics and Finance 2002 165, Society for Computational Economics.
• Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore

• Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers 17/03, Monash University, Department of Econometrics and Business Statistics.
• Arne Bigsten & Paul Collier & Stefan Dercon & Marcel Fafchamps & Jan Willem Gunning & Abena Oduro & Remco Oostendorp & Cathy Pattillo & Mans Söderbom & Francis Teal & Albert Zeufack, 2003. "Risk Sharing in Labour Markets," Tinbergen Institute Discussion Papers 03-077/2, Tinbergen Institute.
• Marc Henrard, 2003. "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance 0310003, University Library of Munich, Germany, revised 12 Oct 2003.
• Item repec:mtl:montde:04-2003 is not listed on IDEAS anymore

• Item repec:mtl:montde:06-2003 is not listed on IDEAS anymore

• Moh. Khusaini, 2002. "The Role of Economic Fundamentals in Explaining Indonesian Currency Crisis," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0219, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• John L. Mikesell, 2002. "Subnational Government Bankruptcy, Defaul, and Fiscal Crisis in the United States," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0221, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• Tetsuji Okazaki, 2003. ""Mitsubishi Bank under the Showa Financial Crisis, 1927: The Crisis observed thorough the Daily Financial Data"(in Japanese)," CIRJE J-Series CIRJE-J-97, CIRJE, Faculty of Economics, University of Tokyo.
• Neven Valev & John A. Carlson, 2002. "Tenuous Financial Stability," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0210, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
• Clinton WATKINS & Michael McALEER, 2002. "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002 18, Society for Computational Economics.
• S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003 252, Society for Computational Economics.
• J. Huston McCulloch & E. Richard Percy, Jr., 2002. "A Spline LR Test for Goodness-of-Fit," Computing in Economics and Finance 2002 123, Society for Computational Economics.
• NUÑEZ, Laura, 2002. "An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange," Computing in Economics and Finance 2002 29, Society for Computational Economics.
• Tetsuya Noguchi & Berc Rustem, 2002. "An algorithm for the quasivariational inequality arising in option pricing with transaction costs I," Computing in Economics and Finance 2002 378, Society for Computational Economics.