References
Published online by Cambridge University Press: 23 December 2009
Summary
A summary is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
- Type
- Chapter
- Information
- Risk Management for Central Banks and Other Public Investors , pp. 490 - 506Publisher: Cambridge University PressPrint publication year: 2009
References
, , 2003. ‘Understanding the recovery rates on defaulted securities’, CEPR Discussion Paper 4098.CrossRef
, and 1997. ‘A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing’, in , (eds.), Monte Carlo and Quasi-Monte Carlo Methods 1996., Lecture Notes in Statistics vol. 127. New York: Springer-Verlag, pp. 1–18.Google Scholar
2003. ‘Another interpretation of negative Sharpe ratio’, Journal of Performance Measurement 7(3): 19–23.Google Scholar
1999. Risk management and analysis: Measuring and modeling financial risk. New York: Wiley.Google Scholar
and 2003. ‘Portfolio performance evaluation using value at risk’, Journal of Portfolio Management 29: 93–102.CrossRefGoogle Scholar
and 1996. ‘Almost everything you wanted to know about recoveries on defaulted bonds’, Financial Analysts Journal 52(6): 57–64.CrossRefGoogle Scholar
, , and 2005a. ‘The link between default and recovery rates: Theory, empirical evidence and implications’, The Journal of Business 78(6): 2203–28.CrossRefGoogle Scholar
, and (eds.) 2005b. Recovery risk: the next challenge in credit risk management. London: Risk Books.Google Scholar
, and 2004. ‘Default recovery rates in credit risk modelling: A review of the literature and empirical evidence’, Economic Notes 33: 183–208.CrossRefGoogle Scholar
and 1991. ‘Liquidity, maturity and the yields on U.S. Treasury securities’, Journal of Finance 46: 1411–25.CrossRefGoogle Scholar
, , and 2001. ‘Credit risk optimisation with conditional Value-at-Risk criterion’, Mathematical Programming, Series B 89: 273–91.CrossRefGoogle Scholar
and 1994. ‘Multicurrency performance attribution’, Financial Analysts Journal 50(2): 29–35.CrossRefGoogle Scholar
2003. Central banking systems compared: The ECB, the pre-euro Bundesbank and the Federal Reserve System. London and New York: Routledge.CrossRefGoogle Scholar
and 1995. ‘Measuring loss on defaulted bank loans: A 24-year study’, Journal of Commercial Lending 77(7): 11–23.Google Scholar
. 2002. ‘A risk management standard’, www.theirm.org/publications/documents/Risk_Management_Standard_030820.pdf.
and 2007. Central bank reserve management: new trends, from liquidity to return. Cheltenham: Edward Elgar.Google Scholar
and 2003 ‘The market portfolio’, in (ed.), pp. 91–103.
. 1999. Implications of repo markets for central banks. Basel: Bank for International Settlements, www.bis.org/publ/cgfs10.pdf.Google Scholar
. 2005. ‘Zero-coupon yield curves: Technical documentation’, BIS Papers 25.
. 2004. ‘Guidelines on eligible collateral’, www.boj.or.jp/en/type/law/ope/yoryo18.htm.
, and (eds.) 2004. Les scores de la Banque de France: Méthode, résultats, applications. Paris: Banque de France, Observatoire des entreprises.
. 1998a. ‘Framework for internal control systems in banking organizations’, Bank for International Settlements 09/1998, www.bis.org/publ/bcbs40.pdf.
. 1998b. ‘Operational risk management’, Bank for International Settlements 09/1998, www.bis.org/publ/bcbs42.pdf.
. 2000a. ‘Credit ratings and complementary sources of credit quality information’, BCBS Working Papers 3, www.bis.org/publ/bcbs_wp3.pdf.
. 2000b. ‘Principles for the management of credit risk’, Bank for International Settlements 09/2000, www.bis.org/publ/bcbs54.pdf.
. 2001a. ‘The new Basel capital accord’, BIS Consultative document, www.bis.org/publ/bcbsca03.pdf.
. 2001b. ‘The internal ratings-based approach’, BIS Consultative Document, www.bis.org/publ/bcbsca05.pdf.
. 2002. ‘The quantitative impact study for operational risk: Overview of individual loss data and lessons learned’, Bank for International Settlements 01/2002, www.bis.org/bcbs/qisopriskresponse.pdf.
. 2003. ‘Sound practices for the management and supervision of operational risk’, Bank for International Settlements 07/2003, www.bis.org/publ/bcbs96.pdf.
. 2004. ‘Principles for the management and supervision of interest rate risk’, Bank for International Settlements 07/2004, www.bis.org/publ/bcbsca09.pdf.
. 2006a. Enhancing corporate governance for banking organisations. Basel: Bank for International Settlements, www.bis.org/publ/bcbs122.pdf.Google Scholar
. 2006b. Basel II: International convergence of capital measurement and capital standards: A revised framework – Comprehensive version. Basel: Bank for International Settlements.Google Scholar
. 2006c. ‘Core principles for effective banking supervision’, Bank for International Settlements 10/2006, www.bis.org/publ/bcbs129.pdf.
. 2006d. ‘Studies on credit risk concentration: An overview of the issues and a synopsis of the results from the Research Task Force project’, BCBS Working Paper 15, www.bis.org/publ/bcbs_wp15.pdf.
. See Basel Committee on Banking Supervision.
, and 1998. ‘Comparing market and regulatory assessments of bank performance: Who knows what when?’, FEDS Working Paper 03/1998.
and 2002. ‘Mutual fund flows and performance in rational markets’, NBER Working Paper 9275.CrossRef
, , , and (eds.) 2004. Risk management for central bank foreign reserves. Frankfurt am Main: European Central Bank.
, and 2005. ‘Yield curve prediction for the strategic investor’, ECB Working Paper Series 472.CrossRef
and 1998. ‘Optimal control of execution costs’, Journal of Financial Markets 1: 1–50.CrossRefGoogle Scholar
1987. ‘The Role of Collateral in Credit Markets with Imperfect Information’, European Economic Review 31: 887–99.CrossRefGoogle Scholar
and 2008. ‘Monetary policy implementation’, in , and (eds.), Financial markets and institutions: a European perspective. Oxford: Oxford University Press.Google Scholar
and 2006. ‘Credit risk mitigation in central bank operations and its effects on financial markets: The case of the Eurosystem’, ECB Occasional Paper Series 49.
, , and 2006. ‘Excess reserves and the implementation of monetary policy of the ECB’, Journal of Policy Modelling 28: 491–510.CrossRefGoogle Scholar
, and 2004a. ‘The role of central bank capital revisited’, ECB Working Paper Series 392.
, and 2004b. ‘Bidding and performance in repurchase auctions: evidence from ECB open market operations’, CEPR Discussion Paper 4367.
. See Bank for International Settlements.
and 1992. ‘Global portfolio optimization’, Financial Analysts Journal 48: 28–43.CrossRefGoogle Scholar
and 1973. ‘The pricing of options and corporate liabilities’, Journal of Political Economy 81: 637–59.CrossRefGoogle Scholar
, and 1990. ‘A one factor model of interest rates and its application to the Treasury bond options’, Financial Analysts Journal 46: 33–9.CrossRefGoogle Scholar
and 2000. ‘Central banks use of derivatives and other contingent liabilities: Analytical issues and policy implications’, IMF Working Paper 66.
, , and 2001. ‘The main features of the monetary policy frameworks of the Bank of Japan, the Federal Reserve and the Eurosystem’, BIS Paper 9: 23–56.
1997. ‘Movements in the term structure of interest rates’, Federal Reserve Bank of Atlanta Economic Review 82(4): 16–33.Google Scholar
, and 2002. ‘A multi-period linking algorithm that has stood the test of time’, Journal of Performance Measurement 7(1): 15–26.Google Scholar
and 1984. ‘Option portfolio strategies: Measurement and evaluation’, Journal of Business 57(4): 469–92.CrossRefGoogle Scholar
1997. ‘The implementation of monetary policy in industrial countries: A survey’, BIS Economic Paper 47.
2001. ‘A hundred ways to skin a cat: Comparing monetary policy operating procedures in the United States, Japan and the euro area’, BIS Paper 9: 1–22.
and 1979. ‘A continuous time approach to the pricing of bonds’, Journal of Banking and Finance 3: 133–55.CrossRefGoogle Scholar
and 1982. ‘An equilibrium model of bond pricing and test of market efficiency’, Journal of Financial and Quantitative Analysis 17(3): 301–29.CrossRefGoogle Scholar
and 1985. ‘Measuring non-U.S. equity portfolio performance’, Journal of Portfolio Management 1 1(3): 73–76.CrossRefGoogle Scholar
, and 1986. ‘Determinants of portfolio performance’, Financial Analysts Journal 42(4): 39–44.CrossRefGoogle Scholar
, and 1991. ‘Determinants of portfolio performance II: An update’, Financial Analysts Journal 47(3): 40–8.CrossRefGoogle Scholar
. 2006. Business continuity management – Part 1: Code of practice. United Kingdom: British Standards Institutions.Google Scholar
and 1999. ‘Credit risk of an international bond portfolio: a case study’, Algo Research Quarterly 2(1): 9–29.Google Scholar
and 2005. ‘How the ECB's open market operations weaken fiscal discipline in the eurozone (and what to do about it)’, CEPR Discussion Paper 5387.
, and 1998. ‘Arithmetic and geometric attribution’, Journal of Performance Measurement 3(1): 59–68.Google Scholar
and 2005. ‘An OAS Framework for portfolio attribution analysis’, Journal of Performance Measurement 9(4): 8–20.Google Scholar
. 2007. Good practice guidelines. United Kingdom: British Standards Institutions, www.thebci.org/CHAPTER2BCIGPG07.pdf.Google Scholar
and 2007. ‘Collective risk management in a flight to quality episode’, NBER Working Paper 12896.CrossRef
, and 1997. ‘Valuation of mortgage-backed securities using brownian bridges to reduce effective dimension’, The Journal of Computational Finance 1(1): 27–46.CrossRefGoogle Scholar
and 1992. ‘Optimal inflation tax under precommitment: Theory and evidence’, American Economic Review 82: 174–94.Google Scholar
, and 1997. The Econometrics of Financial Markets. Princeton: Princeton University Press.Google Scholar
2006. ‘A review of backtesting and backtesting procedures’, The Journal of Risk 9(2): 1–18.CrossRefGoogle Scholar
2000. ‘Primer on fixed income performance attribution’, Journal of Performance Measurement 4(4): 14–25.Google Scholar
2002. ‘While we expound on theory, have we forgotten practice?’, Journal of Performance Measurement 7(2): 7–8.Google Scholar
1997. ‘On persistence in mutual fund performance’, Journal of Finance 52(1): 57–82.CrossRefGoogle Scholar
1999. ‘Combining attribution effects over time’, Journal of Performance Measurement 3(4): 5–14.Google Scholar
and 1996. ‘Defaulted bank loan recoveries’, Moody's Investors Service, Global Credit Research special report 11/1996, www.moodys.com.
, , and , 2003, ‘Procyclicality and the New Basel Accord-Banks’ Choice of Loan Rating System', Bank of England Working Paper No. 181.
. See Committee on the Global Financial System.
and 1996. ‘Duration, convexity, and time as components of bond returns’, Journal of Fixed Income 6: 88–96.CrossRefGoogle Scholar
2006. Global investment performance standards (GIPS) handbook. 2nd edn. Charlottesville: Chartered Financial Analyst Institute.Google Scholar
and 1994. ‘Duration, convexity, and time value’, Journal of Portfolio Management 20: 51–60.CrossRefGoogle Scholar
and 2007. ‘Strategic foreign reserves risk management: an analytical framework’, Annals of Operations Research 152(1): 79–113.CrossRefGoogle Scholar
1960. ‘The problem of social cost’, The Journal of Law and Economics, 3, 1–44.CrossRefGoogle Scholar
. 2004. ‘Enterprise risk management – an integrated framework’, Committee of Sponsoring Organizations of the Treadway Commission 2004/09, www.coso.org/Publications/ERM/COSO_ERM_Executive Summary.pdf.
. 2000. The contribution of payment systems to financial stability. Basel: Bank for International Settlements, www.bis.org/publ/cpss41.pdf.Google Scholar
. 2006. Cross-border collateral arrangements. Basel: Bank for International Settlements, www.bis.org/publ/cpss71.pdf.Google Scholar
. 1999. ‘Market liquidity: Research findings and selected policy implications’, Bank for International Settlements, www.bis.org/publ/cgfs11overview.pdf.
. 2001. Collateral in wholesale financial markets: recent trends, risk management and market dynamics. Basel: Bank for International Settlements, www.bis.org/publ/cgfs17.pdf.Google Scholar
. 2005. The role of ratings in structured finance: issues and implications. Basel: Bank for International Settlements, www.bis.org/publ/cgfs23.pdf.Google Scholar
and 1986. ‘Performance measurement with the arbitrage pricing theory: A new framework for analysis’, Journal of Financial Economics 15(3): 373–94.CrossRefGoogle Scholar
, and 2007 ‘The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations’, ECB Occasional Paper Series 65.CrossRef
. See Committee of Sponsoring Organizations of the Treadway Commission.
and 2007. Advanced credit risk analysis: Financial approaches and mathematical models to assess, price and manage credit risk. 2nd edn. New York: Wiley.Google Scholar
, , and 2003. ‘A framework for collateral risk control determination’, ECB Working Paper 209.
1996. Investment performance mathematics: Time weighted and dollar weighted rates of return. Hoboken: Metri-Star Press.Google Scholar
. 1999. ‘Improving counterparty risk management practices’, Counterparty Risk Management Policy Group 06/1999, financialservices.house.gov/banking/62499crm.pdf.
. II 2005. ‘Towards greater financial stability: A private sector perspective’, The Report of the Counterparty Risk Management Policy Group II 07/2005, www.crmpolicygroup.org/docs/CRMPG-II.pdf.
, and 1985. ‘A theory of the term structure of interest rates’, Econometrica 53(2): 385–407.CrossRefGoogle Scholar
. See Committee on Payment and Settlement Systems.
and 1976. ‘Randomization of number theoretic methods for multiple integration’, SIAM Journal of Numerical Analysis 13(6): 904–14.CrossRefGoogle Scholar
2005. ‘Fixed income attribution model’, Journal of Performance Measurement 10(2): 49–63.Google Scholar
and 2005. ‘Central bank losses and experiences in selected countries’, IMF Working Paper 05/72.
, and 2004. ‘The Bank of Canada as lender of last resort’, Bank of Canada Review Winter 2004–05: 3–16.Google Scholar
. 2004. Financial management at Danmarks Nationalbank. Copenhagen: Danmarks Nationalbank.Google Scholar
and 2001. ‘Multiple-period performance attribution using the Brinson model’, Journal of Performance Measurement 6(1): 12–22.Google Scholar
2004. ‘Performance attribution for fixed income portfolios in Central Bank of Brazil international reserves management’, in , , , and (eds.), Risk management for central bank foreign reserves. Frankfurt am Main: European Central Bank, pp. 315–29.Google Scholar
, and 2002. ‘The case for reserve managers to invest in corporate debt’, Central Banking 12(4): 79–87.Google Scholar
2005. ‘Annual review 2005’, annualreport.deutsche-bank.com/2005/ar/servicepages/downloads.php.
. 2006. ‘Synopsis of the Deutsche Bundesbank's procedure for analysing credit standing’, www.bundesbank.de/gm/gm_sicherheiten_downloads.en.php.
and 1983. ‘Bank runs, deposit insurance and liquidity’, Journal of Political Economy 91: 401–19.CrossRefGoogle Scholar
and (2006), ‘Forecasting the term structure of Government Bond Yields’, Journal of Econometrics 130: 337–64.CrossRefGoogle Scholar
and 2003. Credit risk: Pricing, measurement and management. Princeton: Princeton University Press.Google Scholar
and 2002. ‘Multi-factor risk models and their applications’ in (ed.), Interest rate, term structure, and valuation modeling. Hoboken: Wiley, pp. 241–94.Google Scholar
and 2004. ‘Multi-factor risk analysis of bond portfolios’ in , , , and (eds.), Risk management for central bank foreign reserves. Frankfurt am Main: European Central Bank, pp. 201–21.Google Scholar
and 2006. ‘Multi–factor risk models and their applications’ in and (eds.) pp. 195–246.
, , , and 2006. Quantitative management of bond portfolios. Princeton: Princeton University Press.Google Scholar
. See European Central Bank.
2004. ‘Does active portfolio management create value? An evaluation of fund managers’ decisions', SSE/EFI Working Paper Series in Economics and Finance 553.
, and 2002. ‘How much equity does a central bank need?’, Sveriges Riksbank Economic Review 2/2002: 5–18.Google Scholar
, , and 2004. ‘Yield curve decomposition and fixed-income attribution’, Journal of Performance Measurement 8(4): 30–45.Google Scholar
. 2004a. ‘Risk mitigation measures in Eurosystem credit operations’, Monthly Bulletin 05/2004: 71–9.Google Scholar
. 2004b. ‘The euro bond market study’, www.ecb.int/pub/pdf/other/eurobondmarketstudy2004en.pdf.
. 2006b. ‘The implementation of monetary policy in the euro area – General documentation of Eurosystem monetary policy instruments and procedures’, General Documentation 09/2006, www.ecb.int/pub/pdf/other/gendoc2006en.pdf
. 2007a. ‘Euro Money Market Study 2007’, www.ecb.europa.eu/pub/pdf/other/euromoneymarketstudy200702en.pdf.
. 2007b. ‘The collateral frameworks of the Federal Reserve System, the Bank of Japan and the Eurosystem’, Monthly Bulletin 10/2007: 85–100.Google Scholar
and 2008. ‘Repo markets, counterparty risk, and the 2007/2008 liquidity crisis’, ECB Working Paper Series 909.
and 1992. ‘The cross–section of expected stock returns’, Journal of Finance 47(2): 427–65.CrossRefGoogle Scholar
and 1993. ‘Common risk factors in the returns on stocks and bonds’, Journal of Financial Economics 33: 3–56.CrossRefGoogle Scholar
and 1995. ‘Size and book-to-market factors in earnings and returns’, Journal of Finance 50(1): 131–55.CrossRefGoogle Scholar
and 1996. ‘Multifactor explanations of asset pricing anomalies’, Journal of Finance 51(1): 55–84.CrossRefGoogle Scholar
. 2007. ‘Domestic open market operations during 2006’, Annual Report to the FOMC, app.ny.frb.org/markets/omo/omo2006.pdf.
. 2002. ‘Alternative instruments for open market operations and discount window operations’, Federal Reserve Study Group on Alternative Instruments for System Operations, Board of Governors of the Federal Reserve System, www.federalreserve.gov/BoardDocs/Surveys/soma/alt_instrmnts.pdf
and 2007. ‘Overview: credit retrenchment triggers liquidity squeeze’, BIS Quarterly Review, 09/2007: 1–16.Google Scholar
. 2007. The ACI model code – The international code of conduct and practice for the financial markets. Committee for Professionalism, cfmx2003.w3line.fr/aciforex/docs/misc/2007may15.pdf.
, and 2004. ‘The demand for euro area currencies: past, present and future’, ECB Working Paper Series 330.
. 2006. ‘Fitch Ratings global corporate finance 1990–2005 transition and default study’, FitchRatings Credit Market Research, www.fitchratings.com.
1996. ‘Financial crisis, payment system problems, and discount window lending’, Journal of money credit and banking 28: 804–24.CrossRefGoogle Scholar
, and 1983. ‘Bond performance: Analyzing sources of return’, Journal of Portfolio Management 9: 46–50.CrossRefGoogle Scholar
, , and 1999. ‘Lender of Last Resort: a review of the literature’, Bank of England Financial Stability Review 7: 151–67.Google Scholar
1999. ‘Optimal bail out policy, conditionality and constructive ambiguity’, Universitat Pompeu Fabra, Economics and Business Working Paper, www.econ.upf.edu/docs/papers/downloads/400.pdf.
, and 2003. ‘The lender of last resort: a 21st century approach’, ECB Working Paper Series 298.
2002a. ‘Linking single period attribution results’, Journal of Performance Measurement 6(3): 10–22.Google Scholar
2002b. ‘Attribution linking: Proofed and clarified’, Journal of Performance Measurement 7(1): 54–67.Google Scholar
2000. ‘Collateral damage detected’, Federal Reserve Bank of Chicago, Emerging Issues Series Working Paper 10/2000 1–14.
, and 1999. ‘Asymptotically optimal importance sampling and stratification for pricing path-dependent options’, Mathematical Finance 9(2): 117–52.CrossRefGoogle Scholar
and 1985. ‘Bid, ask and transaction prices in a specialist market with heterogeneously informed traders’, Journal of Financial Economics 14: 71–100.CrossRefGoogle Scholar
and 1999. ‘Limited commitment and central bank lending’, Federal Reserve Bank of Richmond Quarterly Review 85(4): 1–27.Google Scholar
1999. ‘Myths about the lender of last resort’, International Finance 2: 339–60.CrossRefGoogle Scholar
2000. ‘Can central banking survive the IT revolution?’, International Finance 3(66): 189–209.CrossRefGoogle Scholar
and 2002. Financial crises, contagion and the lender of last resort: A Reader. Oxford: Oxford University Press.Google Scholar
2003. ‘A risk-factor model foundation for ratings-based bank capital rules’, Journal of Financial Intermediation 12: 199–232.CrossRefGoogle Scholar
and 2007. ‘Granularity adjustment for Basel II’, Deutsche Bundesbank, Discussion Paper Series 2: Banking and Financial Studies 01/2007.
and 2004. ‘The case for foreign exchange exposure in U.S. fixed income portfolios’, Lehman Brothers, www.lehman.com.
2004. ‘Corporate bonds in central bank reserves portfolios: a strategic asset allocation perspective’, in , , , and (eds.), Risk Management for Central Bank Foreign Reserves. Frankfurt am Main: European Central Bank, 167–79.Google Scholar
and 1980. ‘On the impossibility of informationally efficient markets’, American Economic Review 70: 393–408.Google Scholar
and 2004. ‘Explosive hyperinflation, inflation-tax Laffer curve, and modeling the use of money’, Journal of Institutional and Theoretical Economics 160: 311–26.CrossRefGoogle Scholar
, and 1997. ‘CreditMetrics™ – Technical Document’, JPMorgan, www.riskmetrics.com.
and 2006. ‘Default and recovery rates of corporate bond issuers, 1920–2005’, Moody's Report 96546, www.moodys.com
, and 2005. ‘Firm heterogeneity and credit risk diversification’, CESifo Working Paper Series 1531.
2000. ‘Comparison of cashflow maps for value-at-risk’, Journal of Risk 3(1): 57–71.CrossRefGoogle Scholar
1971. ‘The private and social value of information and the reward to inventive activity’, American Economic Review 61: 561–74.Google Scholar
1992. ‘Key rate durations: Measures of interest rate risks’, Journal of Fixed Income 2: 29–44.CrossRefGoogle Scholar
and 1986. ‘Term structure movements and pricing interest rate contingent claims’, Journal of Finance 41(5): 1011–29.CrossRefGoogle Scholar
, and 1996. ‘VAR analytics: Portfolio structure, key rate convexities, and VAR betas’, Journal of Portfolio Management 23: 90–8.CrossRefGoogle Scholar
. 1999. ‘Policy statement on the role of the Hong Kong Monetary Authority as lender of last resort’, Quarterly Bulletin 8/1999: 77–81.Google Scholar
and 1990. ‘Pricing interest rate derivative securities’, Review of Financial Studies 3: 573–92.CrossRefGoogle Scholar
and 1993. ‘One factor interest rate models and the valuation of interest rate derivative securities’, Journal of Financial and Quantitative Analysis 28(2): 235–54.CrossRefGoogle Scholar
1986. ‘The classical concept of lender of last resort’, in and (eds.), Essays on inflation. 5th ed. Richmond: Federal Reserve Bank of Richmond.Google Scholar
. See International Monetary Fund.
. 2000. ‘Fundamental information risk management’, Information Security Forum 03/2000, www.securityforum.org/assests/pdf/firm.pdf.
. 2004. ‘The role of internal audit in enterprise-wide risk management’, Institute of Internal Auditors 09/2004, www.theiia.org/download.cfm?file=283.
. 2007 ‘Principles of liquidity risk management’, Report 03/2007, www.afgap.org
. 2004. Guidelines for foreign exchange reserve management. Washington (DC): International Monetary Fund.Google Scholar
. 2005. Guidelines for foreign exchange reserve management: Accompanying document and case studies. Washington (DC): International Monetary Fund.Google Scholar
. 2002. Risk management – Vocabulary – Guidelines for use in standards. Geneva: International Organization for Standardization, International Electrotechnical Commission.Google Scholar
. 2005. Information technology – Security techniques – Information security management systems – Requirements. Geneva: International Organization for Standardization, International Electrotechnical Commission.Google Scholar
. 2004. Guidelines for internal control standards for the public sector. Brussels: International Organization of Supreme Audit Institutions, intosai.connexcc-hosting.net/blueline/upload/1guicspubsece.pdf.Google Scholar
. 2006. ‘Guidelines for collateral practitioners’, www.isda.org.
1989. ‘Efficiency with costly information: a study of mutual fund performance, 1965–1984’, Quarterly Journal of Economics 104: 1–23.CrossRefGoogle Scholar
. See International Swap and Derivatives Association.
, , 2001. ‘Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings’, Mathematical Finance, 11(2): 245–65.CrossRefGoogle Scholar
1968. ‘The performance of mutual funds in the period 1945 – 1964’, Journal of Finance 23(2): 389–419.CrossRefGoogle Scholar
and 1976. ‘Theory of the firm: managerial behavior, agency costs and ownership structure’, Journal of Financial Economics 3: 305–60.CrossRefGoogle Scholar
and 1990. ‘Performance pay and top-management incentives’, The Journal of Political Economy 98: 225–64.CrossRefGoogle Scholar
(ed.) 2003. Financial risk manager handbook. 2nd edn. Hoboken: Wiley.
2006. Value-at-Risk: The new benchmark for managing financial risk. 2nd edn. New York: McGraw-Hill.Google Scholar
1998. ‘Bond managers need to take more risk’, Journal of Portfolio Management 24(3): 70–6.CrossRefGoogle Scholar
and 2004. ‘Risk management of non-maturing liabilities’, Journal of Banking & Finance 28: 1547–68.CrossRefGoogle Scholar
and 2002. ‘Evidence on theta and convexity in Treasury returns’, Journal of Fixed Income 12: 41–50.CrossRefGoogle Scholar
and 1994. Global asset management and performance attribution. Charlottesville: The Research Foundation of the Institute of Chartered Financial Analysts.Google Scholar
and 1985. ‘Network externalities, competition, and compatibility’, American Economic Review 75: 424–40.Google Scholar
and 2003. ‘The central bank as a risk manager, qualifying and forecasting inflation risks’, ECB Working Paper Series 226.
and 2000. ‘Attribution analysis: Combining attribution effects over time’, Journal of Performance Measurement 4(4): 49–59.Google Scholar
, and 2007. ‘The yield curve and macro fundamentals in forecasting exchange rates’, The Journal of Financial Forecasting 1(2): 63–83.Google Scholar
2003. ‘Risk-adjusted performance attribution – A new paradigm for performance analysis’, Journal of Performance Measurement 7(4): 51–62.Google Scholar
and 2001. ‘Regularization algorithms for transition matrices’, Algo Research Quarterly 4(1/2): 23–40.Google Scholar
, and 2002. ‘Portfolio optimization with conditional Value-at-Risk objective and constraints’, The Journal of Risk 4(2): 11–27.Google Scholar
2004. ‘Quasi-Monte Carlo methods in finance’, in , , , and (eds.), Proceedings of the 2004 Winter Simulation Conference. Piscataway: IEEE Press, pp. 1645–55.Google Scholar
, and 2002. ‘Recent advances in randomised quasi-Monte Carlo methods’, in , , and (eds.), Modeling uncertainty: An examination of stochastic theory, methods, and applications. Boston: Kluwer Academic Publishers, pp. 419–74.Google Scholar
2003. ‘Karnosky Singer attribution: A worked example’, Barra Inc. Working Paper, www.mscibarra.com/research/article.jsp?id=303.
2004. Credit risk modeling: Theory and applications. Princeton: Princeton University Press.Google Scholar
and 2002. ‘Analysing rating transitions and rating drift with continuous observations’, Journal of Banking & Finance 26: 481–523.CrossRefGoogle Scholar
2005. ‘Monetary policy Implementation at different stages of market development’, IMF Occasional Papers 244.CrossRef
and 1987. ‘Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons’, Journal of Finance 42: 233–65.CrossRefGoogle Scholar
, and 1995. Return targets and shortfall risks: studies in strategic asset allocation. Chicago: Irwin Professional Publishing.Google Scholar
1993. ‘Institutional aspects of central bank losses’, IMF Paper on Policy Analysis and Assessment 93/14.
1965. ‘The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets’, Review of Economics and Statistics 47: 13–37.CrossRefGoogle Scholar
, and 2007. ‘Bidding behavior in the longer term refinancing operations of the European Central Bank: Evidence from a panel sample selection model’, Journal of Banking and Finance 31: 1521–43.CrossRefGoogle Scholar
and 1991. ‘Common factors affecting bond returns’, Journal of Fixed Income 1: 54–61.CrossRefGoogle Scholar
and 1999. ‘How much credit?’, JPMorgan, www.jpmorgan.com.
2005. ‘Avoiding the rating bounce: Why rating agencies are slow to react to new information’, Journal of Economic Behavior & Organization 56(3): 365–81.CrossRefGoogle Scholar
2002. ‘The empirical relationship between average asset correlation, firm probability of default and asset size’, Federal Reserve Bank of San Francisco Working Paper Series 2002/05.CrossRef
1997. ‘The attribution of portfolio and index returns in fixed income’, Journal of Performance Measurement 2(1): 45–57.Google Scholar
2004. ‘Default correlation: from definition to proposed solutions’, UBS CDO Research, www.defaultrisk.com/pp_corr_65.htm.
and 2006. ‘Modelling the cross-border use of collateral in payment and settlement systems’, Bank of England Working Paper 286.
2001. Measuring and managing operational risks in financial institutions. New York: Wiley.Google Scholar
2004. ‘Central bank financial independence’, Banco de España Occasional Papers 04/01.
and 2007. ‘Economic credit capital allocation and risk contributions’, in and (eds.), Handbooks in operations research and management science: Financial engineering. Amsterdam: Elsevier Science, 681–725.Google Scholar
, and 1983. ‘Empirical exchange rate models of the seventies: Do they fit out of sample?’, Journal of International Economics 14: 3–24.CrossRefGoogle Scholar
2000a. ‘An optimized approach to linking attribution effects’, Journal of Performance Measurement 5(1): 36–42.Google Scholar
2000b. ‘A fully geometric approach to performance measurement’, Journal of Performance Measurement 5(2): 22–30.Google Scholar
2004. ‘Multiperiod arithmetic attribution’, Financial Analysts Journal 60(4): 76–91.CrossRefGoogle Scholar
1973. ‘The theory of rational option pricing’, Bell Journal of Economics and Management Science 4: 141–83.CrossRefGoogle Scholar
1974. ‘On the pricing of corporate debt: the risk structure of interest rates’, Journal of Finance 29(2): 449–70.Google Scholar
2005. Risk and asset allocation. Berlin, Heidelberg, New York: Springer-Verlag.CrossRefGoogle Scholar
1989. ‘The Markowitz optimization enigma: Is optimized optimal?’, Financial Analyst Journal 45: 31–42.CrossRefGoogle Scholar
1998. Efficient asset management: A practical guide to stock portfolio optimization and asset selection. Boston: Harvard Business School Press.Google Scholar
and (2001), ‘Return to RiskMetrics: The Evolution of a Standard’. RiskMetrics.
2000. ‘The structure and visualization of performance attribution’, Journal of Performance Measurement 5(2): 55–80.Google Scholar
2004. ‘Recent bank loan research: implications for Moody's bank loan rating practices’, Moody's Investors Service Global Credit Research report 12/2004, www.moodys.com.
. 2003. ‘Measuring the performance of corporate bond ratings’, Moody's Special Comment 04/2003, www.moodys.com.
and 1996. ‘Smoothness and dimension reduction in quasi-Monte Carlo methods’, Journal of Mathematical and Computer Modeling 23: 37–54.CrossRefGoogle Scholar
and 2006. ‘Fixed income attribution, a unified framework – part I’, Journal of Performance Measurement 11(1): 23–35.Google Scholar
and 1983. ‘Efficient mechanisms for bilateral trading’, Journal of Economic Theory 29: 265–81.CrossRefGoogle Scholar
and 1987. ‘A parsimonious modeling of yield curves’, Journal of Business 60: 473–89.CrossRefGoogle Scholar
2004. Introductory lectures on convex optimization: A basic course. Boston: Kluwer Academic Publishers.CrossRefGoogle Scholar
, and 2000. ‘Stability of rating transitions’, Journal of Banking & Finance 24: 203–27.CrossRefGoogle Scholar
1992. Random number generation and quasi-Monte Carlo methods. Philadelphia: Society for Industrial and Applied Mathematics.CrossRefGoogle Scholar
2000. Foreign exchange reserves management. Handbooks in Central Banking vol. 19. London: Bank of England Centre for Central Banking Studies.Google Scholar
2004. Performance-Analyse von Spezialfonds – Externe und interne Performance-Maβe in der praktischen Anwendung. Bad Soden/Taunus: Uhlenbruch.Google Scholar
. See Organization for Economic Co-operation and Development.
. 1999. Procurement excellence – A guide to using the EFQM excellence model in procurement. London: Office of Government Commerce, www.ogc.gov.uk/documents/Procurement_Excellence_Guide.pdf.Google Scholar
. 2004. ‘Principles of corporate governance, revised’, Organisation for Economic Co-operation and Development 04/2004.
2000. ‘Some remarks on the value-at-risk and the conditional value-at-risk’, in (ed.), Probabilistic constrained optimization: Methodology and applications. Dordrecht: Kluwer Academic Publishers, 272–81.Google Scholar
and 2006. ‘Estimating probabilities of default for low default portfolios’, in and (eds.), The Basel II risk parameters. Berlin: Springer-Verlag, 79–103.Google Scholar
1968. ‘Commercial bank reserve management in a stochastic model: Implications for monetary policy’, Journal of Finance 23: 769–91.CrossRefGoogle Scholar
and (eds.) 2003. How countries manage reserve assets. London: Central Banking Publications.Google Scholar
and 2005. ‘Trends in reserve management – Survey results’, in , and (eds.), RBS Reserve management trends 2005. London: Central Banking Publications, 1–27.Google Scholar
. 2004. A guide to the project management body of knowledge (PMBOK® Guide). Pennsylvania: PMI Inc.Google Scholar
2004. ‘Thoughts on investment guidelines for institutions with special liquidity and capital preservation requirements’ in , , , and (eds.), Risk Management for central bank foreign reserves. Frankfurt am Main: European Central Bank, chapter 2.Google Scholar
2001. ‘Fixed income portfolio management: Risk modeling, portfolio construction and performance attribution’, Journal of Performance Measurement 5(4): 58–70.Google Scholar
2004a. Managing credit risk in corporate bond portfolios: a practitioner's guide. Hoboken: Wiley.Google Scholar
2004b. ‘Setting counterparty credit limits for the reserves portfolio’ in , , , and (eds.), Risk management for central bank foreign reserves. Frankfurt am Main: European Central Bank, chapter 10.Google Scholar
2005. ‘Simulated credit loss distribution: Can we rely on it?’, The Journal of Portfolio Management 31(4): 91–9.CrossRefGoogle Scholar
. 1910. The Reichsbank 1876–1900. Translation edited by the National Monetary Commission. Washington: Government Printing Office.Google Scholar
1991. ‘Multivariate duration analysis’, Transactions of the Society of Actuaries 43: 335–92.Google Scholar
2000. ‘Who should act as lender of last resort: an incomplete contracts model’, Journal of Money, Credit and Banking 32(3): 580–605.CrossRefGoogle Scholar
2006. ‘The RiskMetrics 2006 methodology’, www.riskmetrics.com.
2004. The modern firm: organizational design for performance and growth. Oxford and New York: Oxford University Press.Google Scholar
and 2000. ‘Optimization of conditional value-at-risk’, The Journal of Risk 2(3): 21–41.CrossRefGoogle Scholar
and 2002. ‘Conditional Value-at-Risk for general loss distributions’, Journal of Banking & Finance 26: 1443–71.CrossRefGoogle Scholar
2006. ‘The social costs of foreign exchange reserves’, NBER Working Paper 11952.CrossRef
2004. ‘Risk management practices at the ECB’, in , , , and (eds.), Risk management for central bank foreign reserves. Frankfurt am Main: European Central Bank, chapter 15.Google Scholar
1976. ‘The arbitrage theory of capital asset pricing’, Journal of Economic Theory 13: 341–60.CrossRefGoogle Scholar
2005. ‘Ageing, interest rates, and financial flows’, Bank of Finland Research Discussion Paper 2/2005.
2006b. ‘Uses and misuses of loss data’, Global association of risk professionals [risk review] 05–06/2006: 18–22.Google Scholar
and 2000. ‘A general concept of central bank wide risk management’, in , and (eds.), Risk management for central bankers. London: Central Banking Publications.Google Scholar
2007. Forecasting expected returns in the financial markets. Oxford: Academic Press Elsevier.Google Scholar
and 2002. Credit risk measurement: new approaches to value at risk and other paradigms. 2nd edn. New York: Wiley.Google Scholar
2003. ‘Mean-variance portfolio allocation with a Value at Risk constraint’, Revista de Economía Financiera 1: 4–14.Google Scholar
1991. ‘The arithmetics of active management’, Financial Analysts Journal 47: 7–9.CrossRefGoogle Scholar
1964. ‘Capital asset prices: A theory of market equilibrium under conditions of risk’, Journal of Finance 19(3): 425–42.Google Scholar
2007. Behavioral corporate finance: decisions that create value. Boston: McGraw Hill/Irvin.Google Scholar
and 1985. ‘The determinants of a firm's hedging policies’, Journal of Financial and Quantitative Analysis 20: 391–406.CrossRefGoogle Scholar
1967. ‘The distribution of points in a cube and the approximate evaluation of integrals’, U.S.S.R. Journal of Computational Mathematics and Mathematical Physics 7: 86–112.CrossRefGoogle Scholar
. 2006. ‘Annual 2005 global corporate default study and rating transitions’, www.ratingsdirect.com.
& . 2008a. ‘2007 Annual global corporate default study and rating transitions’,www.standardandpoors.com/ratingsdirect.
& . 2008b. ‘Sovereign defaults and rating transition data: 2007 update’, www.standardandpoors.com/ratingsdirect.
1997. ‘Do central banks need capital?’, IMF Working Paper 83.CrossRef
2002. ‘Central bank financial strength, transparency, and policy credibility’, IMF Working Paper 137.CrossRef
2007. ‘Opportunities in an era of large and growing official wealth’, in Johnson-Calari and Rietveld, pp. 15–28.
1994. ‘Estimating and interpreting forward interest rates: Sweden 1992–1994’, IWF Working Paper 114.CrossRef
. 2003. ‘The Riksbank's role as lender of last resort’, Financial Stability Report 2/2003: 57–73.Google Scholar
and 2002. ‘Analysing and combining multiple credit assessments of financial institutions’, ECB Working Paper 123.
. 2007. ‘The use of portfolio credit risk models in central banks’, ECB Occasional Paper Series 64.
1802. An inquiry into the nature and effects of paper credit of Great Britain. New York: Kelley.Google Scholar
1962. ‘Toward a theory of market value of risky assets’, unpublished manuscript. A final version was published in 1999, in (ed.) Asset pricing and portfolio performance: Models, strategy and performance metrics. London: Risk Books, 15–22.Google Scholar
1965. ‘How to rate management of investment funds’, Harvard Business Review 43: 63–75.Google Scholar
1987. ‘The economics of the dealer function’, Financial Analysts Journal 43(6): 27–34.CrossRefGoogle Scholar
and 1973. ‘How to use security analysis to improve portfolio selection’, Journal of Business 1: 61–86.Google Scholar
. 2003. Reference manual to mitigate potential terrorist attacks against buildings. Washington (DC): Federal Emergency Management Association, www.fema.gov/pdf/plan/prevent/rms/426/fema426.pdf.Google Scholar
, and 2003. ‘Recovery rates on defaulted corporate bonds and preferred stocks, 1982–2003’, Moody's Investors Service, www.moodys.com
1977. ‘An equilibrium characterization of the term structure’, Journal of Financial Economics 5: 177–88.CrossRefGoogle Scholar
1991. ‘Limiting loan loss probability distribution’, KMV Corporation, www.kmv.com.
, and , 2001. ‘Basel II – Berücksichtigung von Diversifikationseffekten im Kreditportfolio durch das granularity adjustment’, Zeitschrift für das gesamte Kreditwesen 12/2001: 20–6.Google Scholar
1996. ‘A new tool for portfolio managers: Level, slope and curvature durations’, Journal of Fixed Income 6: 48–59.CrossRefGoogle Scholar
2000. Messung und Analyse der Performance von Wertpapierportfolios 3rd edn. Bad Soden/Taunus: Uhlenbruch.Google Scholar
2003. ‘Attribution – arithmetic or geometric? The best of both worlds’, Journal of Performance Measurement 8(2): 10–8.Google Scholar
2001. ‘Monetary policy in the information economy’, NBER Working Paper Series 8674.CrossRef
2003. Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton: Princeton University Press.Google Scholar
2006. ‘The changing composition of official reserves’, BIS Quarterly Review 09/2006: 25–38.Google Scholar