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Papers received as of Fri Aug  1 00:01:17 CDT 2003.
(To retrieve abstracts without full papers, use e.g.    get 0308001.abs )
 get 9404003 95011002.abs 9303001  , e.g., returns multiple papers.

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Paper: ewp-ri/0308001
From: rob.rozario@unsw.edu.au
Date: Tue, 19 Aug 2003 02:48:26 -0500   ( 0kb + 153kb )

Title: On Higher Derivatives of Expectations
Author: Robert de Rozario (University of NSW, Sydney, Australia)
Contact: rob.rozario@unsw.edu.au
Comments: Type of Document - LaTex; prepared on IBM PC ; to print on
PostScript; pages: 6 ; figures: included. In the process of being
submitted
Keywords: price sensitivities, greeks, malliavin calculus
JEL: C63
EWPA-references:
Report-no: RD-03-01
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Paper: ewp-ri/0308002
From: gatfaoui@univ-paris1.fr
Date: Mon, 25 Aug 2003 12:18:19 -0500   ( 0kb + 546kb )

Title: How Does Systematic Risk Impact US Credit Spreads? A Copula Study
Author: Hayette Gatfaoui(The University of Paris 1 - Panthéon-Sorbonne)
Contact: gatfaoui@univ-paris1.fr
Comments: Type of Document - Acrobat PDF; prepared on PC; to print on
HP/PostScript; pages: 27 ; figures: included. This paper is under
submission for the special issue of the European Investment Review.
Keywords: systematic risk credit risk copulas Archimedean copulas stress
testing
JEL: C16 C32 D81
EWPA-references: ewp-ri/030827
Report-no: HG-03-27
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Paper: ewp-ri/0308003
From: gatfaoui@univ-paris1.fr
Date: Mon, 25 Aug 2003 12:26:04 -0500   ( 0kb + 322kb )

Title: From Fault Tree to Credit Risk Assessment: An Empirical Attempt
Author: Hayette Gatfaoui(The University of Paris 1 - Panthéon-Sorbonne)
Contact: gatfaoui@univ-paris1.fr
Comments: Type of Document - Acrobat PDF; prepared on PC; to print on
HP/PostScript; pages: 27 ; figures: included. This paper is under
submission for the Journal of Risk.
Keywords: credit risk default probability failure rate fault tree
reliability survival
JEL: C1 D8
EWPA-references: ewp-ri/030823
Report-no: HG-03-23
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Paper: ewp-ri/0308004
From: gatfaoui@univ-paris1.fr
Date: Mon, 25 Aug 2003 12:44:48 -0500   ( 0kb + 234kb )

Title: How Does Systematic Risk Impact Stocks ? A Study On the French
Financial Market
Author: Hayette Gatfaoui(The University of Paris 1 - Panthéon-Sorbonne)
Contact: gatfaoui@univ-paris1.fr
Comments: Type of Document - Acrobat PDF; prepared on PC; to print on
HP/PostScript; pages: 16 ; figures: included. We never published this
piece.
Keywords: Call pricing Granger causality implied volatility option
pricing systematic risk
JEL:
EWPA-references: ewp-test/030816
Report-no: HG-03-016
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Paper: ewp-ri/0308005
From: gatfaoui@univ-paris1.fr
Date: Wed, 27 Aug 2003 12:26:22 -0500   ( 0kb + 293kb )

Title: Risque de Défaut et Risque de Liquidité : Une Etude de Deux
Composantes du Spread de Crédit
Author: Hayette Gatfaoui (University of Paris 1 - Panthéon-Sorbonne)
Contact: gatfaoui@univ-paris1.fr
Comments: Type of Document - Acrobat pdf; prepared on PC; to print on
HP/PostScript; pages: 35 ; figures: included. Paper Written in French.
Shorter draft forthcoming in the 'Revue des Sciences de Gestion'.
Keywords: Default risk liquidity effect credit spreads
JEL:
EWPA-references: ewp-ri/030835
Report-no: HG-03-35
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