2004 Working Paper Series

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#04-01
What Do We Know About Loss Given Default?
Til Schuermann, February 2004
Published as ch. 9 in David Shimko (ed.) Credit Risk: Models and Management, 2nd Edition, London, UK: Risk Books. 2004. A slightly revised version was published as
Edward I. Altman, Andrea Resti and Andrea Sironi (eds.) Recovery Risk: The Next Challenge in Credit Risk Management, London, UK: Risk Books, 2005.

#04-02
Consolidation in the European Insurance Industry: Do Mergers and Acquisitions Create Value for Shareholders?
J. David Cummins and Mary A. Weiss, January 2004
This is the preprint version only. For the published version please see: Brookings-Wharton Papers on Financial Services. 2004.

#04-03
Securitization of Life Insurance Assets and Liabilities
J. David Cummins, January 2004
This is the preprint version only. For the published version please see: Journal of Risk and Insurance 72(June), 193-226. 2005.

#04-04
An Empirical Analysis of the Economic Impact of Federal Terrorism Reinsurance
Jeffrey R. Brown, J. David Cummins, Christopher M. Lewis and Ran Wei, November 2003
This is the preprint version only. For the published version please see:Journal of Monetary Economics 51, pp. 861-898. 2004.

#04-05
Value Creation in Service Delivery: Relating Market Segmentation, Incentive and Operational Performance
Zeynep Aksin Karaesmen, December 2003

#04-06
International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?
Luzi Hail and Christian Leuz, November 2003
This is the preprint version only. For the published version please see: Journal of Accounting Research 44 (2006), 485-531.

#04-07
The Importance of Reporting Incentives: Earnings Management in European Private and Public Firms
David Burgstahler, Luzi Hail and Christian Leuz, February 2004

#04-08
Firms' Capital Allocation Choices, Information Quality, and the Cost of Capital
Christian Leuz and Robert E. Verrecchia, January 2004
This paper is superseded by "Accounting Information, Disclosure, and the Cost of Capital”, with Rick Lambert and Robert Verrecchia, Working Paper #06-20.

#04-09
The Nobel Memorial Prize for Robert F. Engle
Francis X. Diebold, February 2004
This is the preprint version only. For the published version please see:Scandinavian Journal of Economics 106, pp. 165-185. 2004.

#04-10
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Peter F. Christoffersen and Francis X. Diebold, September 2003
This is the preprint version only. For the published version please see: Management Science 52 1273-1287, 2006.

#04-11
Capital Regulation for Position Risk in Banks, Securities Firms and Insurance Companies
Richard Herring and Til Schuermann, October 2003
Published in in H. Scott (ed.) Capital Adequacy: Law, Regulation, and Implementation, Oxford University Press. 2005.

#04-12
How Can the Invisible Hand Strengthen Prudential Supervision?
Richard Herring, October 2003

#04-13
Prevention is Better than Cure: Precluding Information Acquisition in IPOs
Yoram Barzel, Michel A. Habib and D. Bruce Johnsen, April 2004

#04-14
A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks
Joshua V. Rosenberg and Til Schuermann, May 2004
Forthcoming, Journal of Financial Economics

#04-15
Credit Rating Dynamics and Markov Mixture Models
Halina Frydman and Til Schuermann, March 2007
Forthcoming, Journal of Banking and Finance

#04-16
The Impact of Clients' Alleged Financial Reporting Fraud on Underwriter Reputation
Wei-Ling Song, June 2004
Proceedings of the 40 th Annual Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago. 2004.

#04-17
Statistical Analysis of a Telephone Call Center:
A Queuing-Science Perspective
Lawrence Brown, Noah Gans, Avishai Mandelbaum, Anat Sakov, Haipeng Shen, Sergey Zeltyn, and Linda Zhao, October 2004

#04-18
Holdups, Renegotiation, and Termination Fees in Mergers
Edith Hotchkiss, Jun Qian and Weihong Song , November 2004

#04-19
Why do Firms Go Dark? Causes and Economic Consequences of Voluntary SEC Deregistrations
Christian Leuz, Alexander Triantis and Tracy Wang, November 2004
This is the preprint version only. For the publshed version, please see Journal of Accounting and Economics 45(2008), 181-208.

#04-20
How Law & Institutions Shape Financial Contracts: The Case of Bank Loans
Jun Qian and Philip E. Strahan, January 2005

#04-21
Practical Volatility and Correlation Modeling for Financial Market Risk Management
Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold, January 2005
:This is the preprint verion only. For the published version plese see: Mark Carey and René Stulz (eds.), Risks of Financial Institutions, Chicago, IL: University of Chicago Press,