2000 Series
OTC Derivatives for Retail Investors: The Case of Equity Linked Saving
Harry Kat
2000-11
abstract
Principal Component Analysis of Implies Volatility Smiles and Skews
Carol Alexander
2000-10
Short version published as "Principles of the Skew" RISK 14: 1 (2001) pp S29- S32
abstract
On Modelling, Credit Risk Using Arbitrage Free Models
Frank Skinner and Antonio Diaz
2000-08
Published as "The Critical Parameters" RISK 14: 3 (2001) pp S34- S37
abstract
Chris Brooks, Andrew Clare and Gita Persand
2000-07
Journal of Risk Finance (2002) 3(2), 22 – 33.
abstract
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
Carol Alexander
2000-06
Published as "Orthogonal GARCH" in C. Alexander (ed.), Mastering Risk Volume 2. Financial Times – Prentice Hall (2001) pp21-38
abstract
The ACD Model: Predictability of the Time Between Consecutive Trades
Alfonso Dufour and Robert F. Engle
2000-05
abstract
Economic Activity and Time Variation in Expected Futures Returns
Joelle Miffre
2000-03
Published in Economic letters 73 (2001) pp 73-79
abstract
Measuring Operational Risks with Bayesian Belief Networks
Carol Alexander
2000-02
n Derivatives, Use Trading and Regulation 6 No. 2 (2000) pp 166-196
abstract
Value At Risk and Market Crashes
Chris Brooks and Gita Persand
2000-01
Financial Analysts Journal (2002) 58(5), 87-97.
abstract
