Report NEP-RMG-2005-05-23

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:

• Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis.
• Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis.
• Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
• Paul S. Calem & James R. Follain, 2003. "The asset-correlation parameter in Basel II for mortgages on single-family residences," Basel II White Paper 5, Board of Governors of the Federal Reserve System (U.S.).
• João Fernandes, 2005. "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance 0505013, University Library of Munich, Germany.
• Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
• Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis.
• Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2005-04, Federal Reserve Bank of Atlanta.
• Chen-Miao Lin & Stephen D. Smith, 2005. "Hedging, financing, and investment decisions: a simultaneous equations framework," FRB Atlanta Working Paper 2005-05, Federal Reserve Bank of Atlanta.
• Patrick de Fontnouvelle & John S. Jordan & Eric Rosengren, 2004. "Implications of alternative operational risk modeling techniques," Working Papers 04-9, Federal Reserve Bank of Boston.
• Item repec:fip:fedfap:2004-19 is not listed on IDEAS anymore

• Item repec:fip:fedfap:2004-25 is not listed on IDEAS anymore

• Item repec:fip:fedfpb:2004-34 is not listed on IDEAS anymore

• Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
• Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series 2004-69, Board of Governors of the Federal Reserve System (U.S.).
• Daniel M. Covitz & Song Han, 2004. "An empirical analysis of bond recovery rates: exploring a structural view of default," Finance and Economics Discussion Series 2005-10, Board of Governors of the Federal Reserve System (U.S.).
• Ryoichi Ikeda & Takao Kobayashi & Akihiko Takahashi, 2005. ""Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts" (in Japanese)," CIRJE J-Series CIRJE-J-131, CIRJE, Faculty of Economics, University of Tokyo.
• Eichberger, Jürgen & Summer, Martin, 2004. "Bank Capital, Liquidity and Systemic Risk," Sonderforschungsbereich 504 Publications 04-45, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.