Report NEP-RMG-2004-09-05

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.

Subscribe to this report: email, RSS, or Mastodon.

Other reports in NEP-RMG

The following items were announced in this report:

• Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Stock and Bond Return Predictability : The Discrimination Power of Model Selection Criteria," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2004.05, Institut d'Economie et Econométrie, Université de Genève.
• Austin Kelly, 2004. "Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration’s Credit Risk Model for Farmer Mac," Finance 0409001, University Library of Munich, Germany.
• Edward W. Piotrowski, "undated". "The Attainability of an Financial Instrument and Financial Risk (in Polish)," Departmental Working Papers 114pl, University of Bialtystok, Department of Theoretical Physics.
• Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, University Library of Munich, Germany.
• John Kambhu, 2004. "Trading risk and volatility in interest rate swap spreads," Staff Reports 178, Federal Reserve Bank of New York.
• Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, University Library of Munich, Germany.
• Andersson, Patric, 2004. "How well do financial experts perform? A review of empirical research on performance of analysts, day-traders, forecasters, fund managers, investors, and stockbrokers," SSE/EFI Working Paper Series in Business Administration 2004:9, Stockholm School of Economics.
• Edin, Per-Anders & Gustavsson, Magnus, 2004. "Time Out of Work and Skill Depreciation," Working Paper Series 2004:14, Uppsala University, Department of Economics.