Report NEP-RMG-2003-11-09

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:

• Bertrand Rime, 2003. "The New Basel Accord: Implications of the Co-existence between the Standardized Approach and the Internal Ratings-based Approach," Working Papers 03.05, Swiss National Bank, Study Center Gerzensee.
• Richard Black & Colin R. Telmer, "undated". "Liability Management Using Dynamic Portfolio Strategies," Working Papers-Department of Finance Canada 2000-01, Department of Finance Canada.
• Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance 0311004, University Library of Munich, Germany.
• Gai,Prasanna & Simon Hayes & Hyun Song Shin, 2002. "Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises," Departmental Working Papers 2002-02, The Australian National University, Arndt-Corden Department of Economics.
• Item repec:qld:uq2002:300 is not listed on IDEAS anymore

• Jeremy Leake, 2003. "Credit spreads on sterling corporate bonds and the term structure of UK interest rates," Bank of England working papers 202, Bank of England.
• Item repec:cte:werepe:wb035814 is not listed on IDEAS anymore

• Naoto Kunitomo & Akihiko Takahashi, 2003. "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems," CIRJE F-Series CIRJE-F-245, CIRJE, Faculty of Economics, University of Tokyo.
• Byström, Hans & Kwon, Oh Kang, 2003. "A Simple Continuous Measure of Credit Risk," Working Papers 2003:14, Lund University, Department of Economics, revised 18 Jan 2005.
• D'Urso, Pierpaolo & Giordani, Paolo, 2003. "A least squares approach to Principal Component Analysis for interval valued data," Economics & Statistics Discussion Papers esdp03013, University of Molise, Department of Economics.
• Christophe Faugere & Julian Van Erlach, 2003. "A General Theory of Stock Market Valuation and Return," Finance 0311005, University Library of Munich, Germany, revised 17 May 2004.
• Fane, George & McLeod, Ross, 2001. "Banking Collapse and Restructuring in Indonesia, 1997-2001," Departmental Working Papers 2001-10, The Australian National University, Arndt-Corden Department of Economics.
• Peter Blum & Michel Dacorogna & Lars Jaeger, 2003. "Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations," Risk and Insurance 0311001, University Library of Munich, Germany.
• Andrew G Haldane & Adrian Penalver & Victoria Saporta & Hyun Song Shin, 2003. "Analytics of sovereign debt restructuring," Bank of England working papers 203, Bank of England.
• Patrick Sabourin, "undated". "Analyzing and Forecasting Credit Ratings: Some Canadian Evidence," Working Papers-Department of Finance Canada 1999-02, Department of Finance Canada.
• Patrick Georges, "undated". "The Vasicek and CIR Models and the Expectation Hypothesis of the Interest Rate Term Structure," Working Papers-Department of Finance Canada 2003-17, Department of Finance Canada.
• Patrick Georges, "undated". "Borrowing Short- or Long-Term: Does the Government Really Face a Trade-off?," Working Papers-Department of Finance Canada 2003-16, Department of Finance Canada.
• Peter D Spencer, "undated". "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.