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  1. Hunter,W.C., Smith, S.D., 2002. Risk management in the global economy: A review essay. Journal of Banking and Finance 26, 205-221
  2. Esipov, S., Morozovsky, A., 2000. Bid-ask spread formula and liquidity cost risk and reward of a market maker.
  3. Margarita, S., Beltratti, A., 1993. Credit risk and lending in an artificial adaptive banking system. Elsevier Science Publishers B.V.
  4. Meulbroek, L. K., 2002. Integrated risk management for the firm: a senior manager's guide. Harvard Business School 02-046.
  5. Kueter, D., 1999. Business insights in e-commerce and trusted services. Future Generation Computer Systems 16 (200) 373-378.
  6. Risk Management Group of the Basel Committee on Banking Supervision. 2002. Sound practices for the management and supervision of operational risk. Bank for International settlements.
  7. Fatemi, A., Luft, C., 2002. Corporate risk management costs and benefits. Global Finance Journal 13, 29-38.
  8. Herbst, A. F., 2001. E-finance promises kept, promises unfulfilled, and implications for policy and research. Global Finance Journal 12, 205-215.
  9. Kuhn, R., Neu, P., 2002. Functional correlation approach to operational risk in banking organizations.
  10. Pennathur, A. K., 2001. "Clicks and bricks": e-Risk Management for banks in the age of the Internet. Journal of Banking and Finance 25, 2103-2123.
  11. Giot, P., Laurent, S., 2001. Modelling daily value-at-risk using realized volatility and arch type models.
  12. The Financial Services Roundtable, 1999.
  13. Yamai, Y., Yoshiba T., 2002. On the validity of value-at-risk: comparative analyses with expected shortfall. Moneytary and Economic Studies.
  14. Wu, G., Xiao, Z., 2002. An analysis of risk measures, working paper, University of Michigan, University of Illinois at Urbana-Champaign.
  15. Giot, P., 2000. Intraday value-at-risk, working paper, Maastricht University (Holland) and Center for Operations Research and Economics.
  16. Tibiletti, L., 2000. Incremental VaR and VaR with background risk: traps and misinterpretations.
  17. Gibson, M.S., 2001. Incorporating event risk into value-at-risk.
  18. Teker, S., Akcay, B., Value-at-risk: a case of turkish banks, working paper, Istanbul Technical University.
  19. Jaisingh, J. and Rees, J., Value at risk: a methodology for information security risk assessment, working paper, Purdue University.
  20. Working group by the Euro-currency Standing Committee of the central banks of the Group of Ten countries, 1998. On the use of information and risk management by international banks.
  21. Henry,P.B., Aug. 2002. Is Disinflation Good for the Stock Market? Journal of Finance, Volume 57: Issue 4, working paper, Stanford University
  22. Huang, R.D., June 2002. The Quality of ECN and Nasdaq Market Maker Quotes, Volume 57: Issue 3, working paper, University of Notre Dame

    Abstract: This paper compares the quality of quotes submitted by electronic communication networks (ECNs) and by traditional market makers to the Nasdaq quote montage. An analysis of the most active Nasdaq stocks shows that ECNs not only post informative quotes, but also, compared to market makers, ECNs post quotes rapidly and are more often at the inside.

  23. Bessembinder, H., and Lemmon, M.L., June 2002. Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets. Volume 57: Issue 3, working paper, David Eccles School of Business, University of Utah
  24. Claus, J., and Thomas, J., Oct.2001. Equity Premia as Low as Three Percent? Evidence from Analysts’ Earnings Forecasts for Domestic and International Stock Markets, Volume 56: Issue 5,working paper, Barclays Global Investors and Columbia Business School
  25. Smith, B.F., Turnbull, D.A.S., and White, R.W., Oct. 2001. Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects, Volume 56: Issue 5, working paper, Wilfrid Laurier University, Pepperdine University, University of Western Ontario
  26. Coval, J.D., and Shumway, T., Oct. 2002. Is Sound Just Noise? Volume 56: Issue 5, working paper, University of Michigan Business School

    Abstract: We analyze the information content of the ambient noise level in the Chicago Board of Trade’s 30-year Treasury Bond futures trading pit. Controlling for a variety of other variables, including lagged price changes, trading volumes, and news announcements, we find that the sound level conveys information which is highly economically and statistically significant. Specifically, changes in the sound level forecast changes in the cost of transacting. Following a rise in the sound level, prices become more volatile, depth declines, and information asymmetry increases. Our results offer important implications for the future of open outcry and floor-based trading mechanisms.

  27. Rashes, M.S., Oct. 2001. Massively Confused Investors Making Conspicuously Ignorant Choices (MCI-MCIC), Volume 56: Issue 5, Bracebridge Capital, Cambridge, MA

    Abstract: This paper examines the co-movement of stocks with similar ticker symbols. For one such pair of firms, there is a significant correlation between returns, volume, and volatility at short frequencies. Deviations from “fundamental value” tend to be reversed within several days, although there is some evidence that the return co-movement persists for longer horizons. Arbitrageurs appear to be limited in their ability to eliminate these deviations from fundamentals. This anomaly allows the observation of noise traders and their effect on stock prices independent of changes in information and expectations.

  28. Kothari, S.P., and Warner,J.B., Oct.2001. Evaluating Mutual Fund Performance, Volume 56: Issue 5,working paper, Massachusetts Institute of Technology and University of Rochester
  29. Barberis, N., and Huang, M., Aug.2001. Mental Accounting, Loss Aversion, and Individual Stock Returns, Volume 56: Issue 4, working paper, University of Chicago and Stanford University
  30. Sahalia, Y. A., and Brandt, M.W., Aug. 2001. Variable Selection for Portfolio Choice, Volume 56: Issue 4, working paper, Department of Economics, Princeton University, and NBER and Wharton School, University of Pennsylvania, and NBER
  31. Venkataraman, K., and Edwin L. Aug. 2001. Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges, Volume 56: Issue 4, working paper, Southern Methodist University
  32. Lettau, M., and Ludvigson, S., June 2001. Consumption, Aggregate Wealth, and Expected Stock Returns, working paper, Volume 56: Issue 3. Federal Reserve Bank of New York
  33. Poteshman, A.M., June 2001. Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market, Volume 56: Issue 3, University of Illinois at Urbana-Champaign
  34. Chordia,T., Roll, R., and Subrahmanyam, A, April 2001. Market Liquidity and Trading Activity, Volume 56: Issue 2, Emory University and UCLA
  35. Grinblatt,M., and Keloharju, M., April 2001. What Makes Investors Trade? Volume 56: Issue 2, UCLA and Helsinki School of Economics, Finland

    Abstract: A unique data set allows us to monitor the buys, sells, and holds of individuals and institutions in the Finnish stock market on a daily basis. With this data set, we employ Logit regressions to identify the determinants of buying and selling activity over a two-year period…

  36. Hee-Joon Ahn, H. J., Bae, K.H., and Chan, K., April 2001. Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong, Volume 56: Issue 2, Sookmyung Women’s University and Hong Kong University of Science and Technology
  37. Kandel, E., and Marx, L.M., Feb.1999. Payments for Order Flow on Nasdaq, Volume 54: Issue 1, Hebrew University and University of Rochester

    Abstract: We present a model of Nasdaq that includes the two ways in which marketmakers compete for order flow: quotes and direct payments. Brokers in our model can execute small trades through a computerized system, preferencing arrangements with marketmakers, or vertical integration into market making. The comparative statics in our model differ from those of the traditional model of dealer markets, which does not capture important institutional features of Nasdaq. We also show that the empirical evidence is inconsistent with the traditional model, which suggests that preferencing and vertical integration are important components in understanding Nasdaq.


  1. Bessis, J., Risk management in banking, Chichester, England ; New York : J. Wiley, c1998
  2. Saunders, A., Credit risk measurement: new approaches to value at risk and other, New York : Wiley, 1999
  3. Donaldson, T.H., Credit risk and exposure in securitization and transactions, New York : St. Martin's Press, 1989
  4. Schaeffer, H.A., Credit risk management: a guide to sound business decisions, New York ; Chichester : J.Wiley, 2000
  5. Banks, E., The credit risk of complex derivatives, Basingstoke : Macmillan, 1993
  6. Sato, S., Transforming payment systems: meeting the needs of emerging market, Washington, D.C. : World Bank, 1995
  7. Humphrey, D., Payment systems: principles, practice, and improvements, Washington, D.C. : World Bank, 1995
  8. King, J.L., Operational risk: measurement and modelling, New York : Wiley, 2001
  9. Brink, G.J.V.D., Operational risk : the new challenge for banks, Houndmills [England] ; New York : Palgrave, 2002
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