Report NEP-RMG-2003-08-17

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:

• B. K. Bierut, 2002. "On the optimal frequency of the central bank's operations in the reserve market," MEB Series (discontinued) 2002-15, Netherlands Central Bank, Monetary and Economic Policy Department.
• David Bakstein & Sam Howison, 2003. "Using Options on Greeks as Liquidity Protection," OFRC Working Papers Series 2003mf03, Oxford Financial Research Centre.
• Hjalmarsson, Erik, 2003. "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics 101, University of Gothenburg, Department of Economics.
• Patric H. Hendershott & Bryan D. MacGregor, 2003. "Investor Rationality: Evidence from UK Property Capitalization Rates," NBER Working Papers 9894, National Bureau of Economic Research, Inc.
• Vicky Henderson & David Hobson & William Shaw & Rafal Wojakowski, 2003. "Bounds for Floating-Strike Asian Options using Symmetry," OFRC Working Papers Series 2003mf04, Oxford Financial Research Centre.
• Gobert, Karine & Gonzalez, Patrick & Poitevin, Michel, 2002. "Bank Value and Financial Fragility," Cahiers de recherche 0202, GREEN.
• Claudio Soto, 2003. "The Effects of Nominal and Real Shocks on the Chilean Real Exchange Rate During the Nineties," Working Papers Central Bank of Chile 220, Central Bank of Chile.
• Hai-Chin YU & Ming-Chang Huang, 2003. "Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong," Econometrics 0308002, University Library of Munich, Germany, revised 18 Aug 2003.
• James Poterba & Joshua Rauh & Steven Venti & David Wise, 2003. "Utility Evaluation of Risk in Retirement Saving Accounts," NBER Working Papers 9892, National Bureau of Economic Research, Inc.
• Sam Howison & Avraam Rafailidis & Henrik Rasmussen, 2003. "On the Pricing and Hedging of Volatility Derivatives," OFRC Working Papers Series 2003mf06, Oxford Financial Research Centre.
• Ralph de Haas & Iman van Lelyveld, 2003. "Foreign Banks and Credit Stability in Central and Eastern Europe: Friends or Foes? A Panel Data Analysis," MEB Series (discontinued) 2003-04, Netherlands Central Bank, Monetary and Economic Policy Department.
• Paul R. Bergin & Ivan Tchakarov, 2003. "Does Exchange Rate Risk Matter for Welfare?," NBER Working Papers 9900, National Bureau of Economic Research, Inc.
• Andrew Feltenstein & Roger Lagunoff, 2003. "International versus Domestic Auditing of Bank Solvency," Macroeconomics 0308002, University Library of Munich, Germany.
• W.A. van den End & J.I. Kakes & M.C.J. van Rooij & A.C.J. Stokman, 2002. "Portfolio management by Dutch households: an analysis on the basis of a survey," MEB Series (discontinued) 2002-8, Netherlands Central Bank, Monetary and Economic Policy Department.
• Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
• Jeannette H.C. Woerner, 2003. "Estimation of Integrated Volatility in Stochastic Volatility Models," OFRC Working Papers Series 2003mf05, Oxford Financial Research Centre.
• David Fielding & Kalvinder Shields, 2003. "Do Currency Unions Deliver More Economic Integration than Fixed Exchange Rates? Evidence from the CFA and the ECCU," Discussion Papers in Economics 03/9, Division of Economics, School of Business, University of Leicester.
• Georges Dionne & Florence Giuliano & Pierre Picard, 2003. "Optimal Auditing for Insurance Fraud," Cahiers de recherche 0329, CIRPEE.
• David Lamper & Sam Howison, 2003. "Monte Carlo valuation of American Options," OFRC Working Papers Series 2003mf01, Oxford Financial Research Centre.
• Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2003. "Debt Intolerance," NBER Working Papers 9908, National Bureau of Economic Research, Inc.