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Content
May 2008, Volume 9, Issue 3
- 262-277 An accurate formula for bond‐portfolio stress testing
by Leonard Tchuindjo - 278-286 Immunization without duration for on‐line learning
by Eva C. Yen - 287-291 Wald's maximin model: a treasure in disguise!
by Moshe Sniedovich - 292-302 Conceptual lessons on financial strategy following the US sub‐prime crisis
by Check‐Teck Foo - 303-305 The pond for markets: social and local
by Michael Mainelli
February 2008, Volume 9, Issue 2
- 101-105 The nature of randomness
by Michael R. Powers - 106-124 A practical approach to blend insurance in the banking network
by Panayiotis G. Artikis & Stanley Mutenga & Sotiris K. Staikouras - 125-150 Reputation entrenchment or risk minimization?
by Xun Li & Zhenyu Wu - 151-172 On loss‐avoiding payoff distribution in a dynamic portfolio management problem
by Jacek B. Krawczyk - 173-187 Moments of the time of ruin in a renewal risk model with discounted penalty
by K.K. Thampi & M.J. Jacob - 188-199 Asian options versus vanilla options: a boundary analysis
by George L. Ye - 200-205 Simultaneous output and input hedging: a decision analysis
by Moawia Alghalith - 206-210 Work in progress?
by Chris Gentle - 211-217 Liquidity=Diversity
by Michael Mainelli
January 2008, Volume 9, Issue 1
- 5-8 The nature of randomness
by Michael R. Powers - 9-19 EU Banking Directives: risk and wealth effects on the Greek financial sector
by Themis D. Pantos - 20-39 Corporate hedging and risk management theory: evidence from Polish listed companies
by Karol Marek Klimczak - 40-51 Development in Islamic banking: a financial risk‐allocation approach
by M. Mansoor Khan & M. Ishaq Bhatti - 52-70 Effect of exchange‐rate volatility on foreign direct investment in Sub‐Saharan Africa
by Anthony Kyereboah‐Coleman & Kwame F. Agyire‐Tettey - 71-80 Risk minimization under budget constraints
by Kiseop Lee - 81-88 Alternative measures to value at risk
by Colin J. Thompson & Michael A. McCarthy
November 2007, Volume 8, Issue 5
- 429-433 Intuition and surprise
by Michael R. Powers - 434-449 Why hedge? Rationales for corporate hedging and value implications
by Kevin Aretz & Söhnke M. Bartram & Gunter Dufey - 450-464 Calibrating risk‐neutral default correlation
by Elisa Luciano - 465-480 Prediction of bank failures in emerging financial markets: an ANN approach
by E. Nur Ozkan‐Gunay & Mehmed Ozkan - 481-488 A generalized ROC approach for the validation of credit rating systems and scorecards
by Stylianos Z. Xanthopoulos & Christos T. Nakas - 489-507 Impacts of interval measurement on studies of economic variability
by Ling T. He & Chenyi Hu
August 2007, Volume 8, Issue 4
- 325-329 Thoughts on the “scientific method”: part 2 – frequentist fecklessness
by Michael R. Powers - 330-348 Calibrating asset correlation for Indian corporate exposures
by Arindam Bandyopadhyay & Tasneem Chherawala & Asish Saha - 349-363 Dividend policy and payout ratio: evidence from the Kuala Lumpur stock exchange
by Abdulrahman Ali Al‐Twaijry - 364-379 Debt policy and performance of SMEs
by Joshua Abor - 380-393 Foreign exchange risk exposure of listed companies in Ghana
by Zubeiru Salifu & Kofi A. Osei & Charles K.D. Adjasi - 394-409 Banks' risk management: a comparison study of UAE national and foreign banks
by Hussein A. Hassan Al‐Tamimi & Faris Mohammed Al‐Mazrooei - 410-421 The North Cyprus banking sector: the effect of a speculative attack on the Turkish Lira
by Nil Günsel
May 2007, Volume 8, Issue 3
- 209-213 Thoughts on the “scientific method”: part 1 – ignorance through inconsistency
by Michael R. Powers - 214-229 Weekly volatility forecasts with applications to risk management
by David G. McMillan & Alan E.H. Speight - 230-245 Valuation when bankruptcy is a possibility and taxes matter
by Emilio C. Venezian - 246-259 Hedge fund performance and managerial social capital
by Rosmah Mat Isa & Rashid Ameer - 260-287 On the use of value at risk for managing foreign‐exchange exposure in large portfolios
by Mazin A.M. Al Janabi - 288-308 Insurance risk exchange in the presence of background risk and private information
by Wen‐chang Lin & Jin‐ray Lu - 309-312 Input hedging: generalizations
by Moawia Alghalith
March 2007, Volume 8, Issue 2
- 93-96 Sharing responsibility: what they didn't teach you in kindergarten
by Michael R. Powers - 97-111 Tornado risk analysis in the United States
by Siamak Daneshvaran & Robert E. Morden - 112-132 Weather derivatives: risk‐hedging prospects for agriculture and power sectors in India
by Anil K. Sharma & Ashutosh Vashishtha - 133-155 Data‐efficient model building for financial applications
by Sven Sandow & Xuelong Zhou - 156-165 Systemic risk in modern financial systems: analytics and policy design
by Prasanna Gai & Nigel Jenkinson & Sujit Kapadia - 166-185 An analysis of risk for defaultable bond portfolios
by Hongtao Guo & Guojun Wu & Zhijie Xiao - 186-195 On the surplus prior to ruin in the perturbed classical risk process
by Jiandong Ren
January 2007, Volume 8, Issue 1
- 5-10 Human mortality: written in the stars?
by Michael R. Powers - 11-23 Securitization and risk: empirical evidence on US banks
by Hatice Uzun & Elizabeth Webb - 24-34 Managing credit risk with info‐gap uncertainty
by Bryan Beresford‐Smith & Colin J. Thompson - 35-45 Mapping corporate drift towards default
by Arindam Bandyopadhyay - 46-55 Mapping corporate drift towards default
by Arindam Bandyopadhyay - 56-71 The impact of capital structure on the performance of microfinance institutions
by Anthony Kyereboah‐Coleman - 72-78 Value‐at‐risk concept by Swiss private banks
by Andrey Rogachev - 79-83 Risk‐seekers or rent‐seekers?
by Michael Mainelli - 84-86 The distribution dilemma
by Chris Gentle
October 2006, Volume 7, Issue 5
- 458-462 Catastrophe forecasting: seeing “gray” among the “black boxes”
by Michael R. Powers - 463-487 Dynamic monitoring of financial intermediaries with subordinated debt
by Gloria González‐Rivera & David Nickerson - 488-502 The estimation of nominal and real yield curves from government bonds in Israel
by Zvi Wiener & Helena Pompushko - 503-524 Fuzzy random‐coefficient volatility models with financial applications
by K. Thiagarajah & A. Thavaneswaran - 525-543 Financial applications of ARMA models with GARCH errors
by M. Ghahramani & A. Thavaneswaran - 544-558 Parsimonious principle of GARCH models: a Monte‐Carlo approach
by Jing Wu - 559-574 Approximating the growth optimal portfolio with a diversified world stock index
by Truc Le & Eckhard Platen
August 2006, Volume 7, Issue 4
- 345-347 Pure vs speculative risk
by Michael R. Powers - 348-371 Credit‐default swap rates and equity volatility: a nonlinear relationship
by Fathi Abid & Nader Naifar - 372-385 Pricing credit risk through equity options calibration
by Marco Fabio Delzio - 386-401 Pricing credit risk through equity options calibration
by Marco Fabio Delzio - 402-414 When does cross‐border acquisition of insurance firms lead to value creation?
by B. Elango - 415-424 Comparative statics and optimal portfolios
by Jean Fernand Nguema - 425-445 Option pricing for some stochastic volatility models
by A. Thavaneswaran & J. Singh & S.S. Appadoo
May 2006, Volume 7, Issue 3
- 233-236 The Cramér‐Rao lower bound on variance: Adam and Eve's “uncertainty principle”
by Michael R. Powers - 237-254 Effects of maturity choices on loan‐guarantee portfolios1
by Michel Gendron & Van Son Lai & Issouf Soumaré - 255-272 Predicting probability of default of Indian corporate bonds: logistic andZ‐score model approaches
by Arindam Bandyopadhyay - 273-291 Foreign‐exchange trading risk management with value at risk
by Mazin A.M. Al Janabi - 292-300 Can the student‐tdistribution provide accurate value at risk?
by Chu‐Hsiung Lin & Shan‐Shan Shen - 301-312 Best execution compliance: new techniques for managing compliance risk
by Michael Mainelli & Mark Yeandle - 313-336 Best execution compliance automation: towards an equities compliance workstation
by Michael Mainelli & Mark Yeandle
March 2006, Volume 7, Issue 2
- 113-116 An insurance paradox
by Michael R. Powers - 117-135 Empirical study of value‐at‐risk and expected shortfall models with heavy tails
by Fotios C. Harmantzis & Linyan Miao & Yifan Chien - 136-145 Determinants of dividend payout ratios in Ghana
by Mohammed Amidu & Joshua Abor - 146-159 Analysis of multinational underwriting cycles in property‐liability insurance
by Chao‐Chun Leng & Ursina B. Meier - 160-176 Business cycles in insurance and reinsurance: the case of France, Germany and Switzerland
by Ursina B. Meier & J. François Outreville - 177-188 The use of spectral analysis in insurance cycle research
by Emilio C. Venezian - 189-214 Application of spectral and ARIMA analysis to combined‐ratio patterns
by Emilio C. Venezian & Chao‐Chun Leng
January 2006, Volume 7, Issue 1
- 9-23 Granting non‐tradable stock options: the opportunity costs for shareholders and employees
by Michele Moretto & Giampaolo Rossini - 24-37 The fund of hedge funds reporting puzzle
by Noël Amenc & Philippe Malaise & Mathieu Vaissié - 38-48 Stationarity and stability of underwriting profits in property‐liability insurance
by Chao‐Chun Leng - 49-63 Stationarity and stability of underwriting profits in property‐liability insurance
by Chao‐Chun Leng - 64-82 Multi‐national underwriting cycles in property‐liability insurance
by Ursina B. Meier - 83-97 Multi‐national underwriting cycles in property‐liability insurance
by Ursina B. Meier
December 2005, Volume 6, Issue 5
- 382-387 VaR stress tests for highly non‐linear portfolios
by John H.J. Einmahl & Walter N. Foppen & Olivier W. Laseroms & Casper G. de Vries - 388-403 Value‐at‐risk with info‐gap uncertainty
by Yakov Ben‐Haim - 404-415 Reciprocal insurance: a case of supply created by demand
by Emilio C. Venezian - 416-423 Classic and modern measures of risk in fixed‐income portfolio optimization
by Miguel Ángel Martín Mato - 424-437 Trade size, trade frequency, and the volatility‐volume relation
by Frederick (Fengming) Song & Hui Tan & Yunfeng Wu - 438-445 The effect of capital structure on profitability: an empirical analysis of listed firms in Ghana
by Joshua Abor
September 2005, Volume 6, Issue 4
- 292-305 Examining risk reporting in UK public companies
by Philip M. Linsley & Philip J. Shrives - 306-318 Managing foreign exchange risk among Ghanaian firms
by Joshua Abor - 319-334 A “square‐root rule” for reinsurance? Evidence from several national markets
by Emilio C. Venezian & Krupa S. Viswanathan & Iana B. Jucá - 335-340 Estimating the cost of capital: considerations for small business
by Ralph Palliam - 341-348 Application of a multi‐criteria model for determining risk premium
by Ralph Palliam - 349-365 t‐statistics for weighted means in credit risk modeling
by Lisa R. Goldberg & Alec N. Kercheval & Kiseop Lee
July 2005, Volume 6, Issue 3
- 192-207 Pricing issues in aviation insurance and reinsurance
by Morton N. Lane - 208-225 An autoregressive conditional duration model of credit‐risk contagion
by Sergio M. Focardi & Frank J. Fabozzi - 226-238 Modeling risk for long and short trading positions
by Timotheos Angelidis & Stavros Degiannakis - 239-250 Insurance market equilibrium: a multi‐period dynamic solution
by Wen‐chang Lin - 251-266 Preferences analysis, transactions, and volatility
by Jaroslav Zajac - 267-274 Towards multi‐factor models of decision making and risk
by Michael Nwogugu
April 2005, Volume 6, Issue 2
- 87-97 The use of derivatives by US insurers
by Mayank Raturi - 98-117 Diffusion models of insurer net worth: can one dimension suffice?
by Jiandong Ren - 118-134 Coping with credit risk
by Henri Loubergé & Harris Schlesinger - 135-149 Asset and liability management in financial crisis
by Arzu Tektas & E. Nur Ozkan‐Gunay & Gokhan Gunay - 150-162 Towards multi‐factor models of decision making and risk
by Michael Nwogugu - 163-173 Towards multi‐factor models of decision making and risk
by Michael Nwogugu
February 2005, Volume 6, Issue 1
- 6-16 Enhancing reinsurance efficiency using index‐based instruments
by Lixin Zeng - 17-30 Betting on country alphas to hedge against Asian crisis risk
by Stephen Miller - 31-39 Theory of portfolio and risk based on incremental entropy
by Jianshe Ou - 40-46 Developing and implementing a stochastic decision‐support model within an organizational context
by Kjetil Høyland & Erik Ranberg & Stein W. Wallace - 47-59 Forecasts from biased experts: a “meta‐credibility” problem
by Michael R. Powers - 60-68 Determinant factors of leverage
by Yaiza García Padrón & Rosa María Cáceres Apolinario & Octavio Maroto Santana & María Concepción Verona Martel & Lourdes Jordán Sales
April 2004, Volume 5, Issue 4
- 14-17 M&A integration at Delta Connection Inc
by J.T. Fisher - 20-21 Unlocking the value of corporate real estate
by Lauralee Martin - 34-44 Capital market solutions to terrorism risk coverage: a feasibility study
by Sylvie Bouriaux & William L. Scott
March 2004, Volume 5, Issue 3
- 7-9 Assessing the regulatory impact: the challenges of UCITS III — Germany's regulators become the first to launch derivatives ordinance
by Kai D. Leifert - 10-13 Assessing the regulatory impact: credit risk — going beyond Basel II
by Richard Tschemernjak - 23-27 The continuing saga — Basel II developments: liquidity regulation into the 21st century
by Phil Leverick - 28-33 The continuing saga — Basel II developments: bank capital management in the light of Basel II — how to manage capital in financial institutions
by David Rowe & Dean Jovic & Richard Reeves - 34-37 Re‐assessing 21st century risk: 21st century trends in risk management — board level decisions set the agenda
by Chris Mundy - 38-40 Re‐assessing 21st century risk: the reaction to risky financial reporting — the rise and rise of cash
by Jon Purr - 58-65 The risk management of everything
by Michael Power
February 2004, Volume 5, Issue 2
- 6-15 Integrating Interest Rate Risk in Credit Portfolio Models
by Peter Grundke - 16-32 Forecasting Retail Portfolio Credit Risk
by Daniel Rösch & Harald Scheule - 33-44 Effect of Uncertainties in Modeling Tropical Cyclones on Pricing of Catastrophe Bonds:A Case Study
by Siamak Daneshvaran & Robert E. Morden - 45-51 Arbitrage Algebra and the Price of Multi‐Peril ILS
by Morton N. Lane - 52-57 Long‐Term Value at Risk
by Kevin Dowd & David Blake & Andrew Cairns - 58-63 Developing and Implementing a Stochastic Decision‐Support Model Within an Organizational Context:Part II—The Organization
by Kjetil Høyland & Erik Ranberg & Stein W. Wallace
April 2003, Volume 5, Issue 1
- 5-26 Fat Tails, Scaling, and Stable Laws:A Critical Look at Modeling Extremal Events in Financial Phenomena
by Sergio M. Focardi & Frank J. Fabozzi - 27-39 Pricing Vulnerable Options With Copulas
by Umberto Cherubini & Elisa Luciano - 40-50 A Quantile‐Fitting Approach to Value at Risk for Options
by Doowoo Nam & Benton E. Gup - 51-63 Discontinuous Hedging Strategies for Multi‐period Guarantees in Life Insurance
by Snorre Lindset - 64-70 Impact of Risk Management on the Recent Market Volatility in the U.S. and Japan
by Leo M. Tilman & Raymond Wong & Misahiro Yamaguchi - 71-87 Review of Trends in Insurance Securitization April 2002 to March 2003
by Morton N. Lane & Roger G. Beckwith
March 2003, Volume 4, Issue 4
- 6-17 Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables
by Hipòlit Torró & Vicente Meneu & Enric Valor - 18-25 Global Warming and Financial Umbrellas
by Cesare Dosi & Michele Moretto - 26-39 “Leapfrogging” the Variance: The Financial Management of Extreme‐Event Risk
by Michael R. Powers - 40-46 Capital Markets and Insurance Cycles
by Kurt Karl & Thomas Holzheu & Mayank Raturi - 47-54 Insurance League: Italy vs. U.K
by Andrea Consiglio & David Saunders & Stavros Zenios - 55-60 Developing and Implementing a Stochastic Decision‐Support Model Within an Organizational Context:Part I—The Model
by Kjetil Høyland & Erik Ranberg & Stein W. Wallace - 61-63 A Critique of Modeled Credit Default Swap Duration
by David A. Boberski
February 2003, Volume 4, Issue 3
- 5-26 Match Funding Prepayable Assets with Callable Debts Using Simulated Prepayment Bounds
by Shijun Liu & Peter A. Mozer - 27-42 Risk Disaggregation and Credit Risk Valuation in a Merton Framework
by Hayette Gatfaoui - 43-59 A Review of Stochastic Volatility Processes: Properties and Implications
by Dimitris Psychoyios & George Skiadopoulos & Panayotis Alexakis - 61-74 Calculating Quantile‐Based Risk Analytics withL‐Estimators
by Helmut Mausser - 75-81 The Risk Finance of Class Action Settlement Pressure
by J.B. Heaton - 82-86 Insuring Callable Bonds: Selecting the Right Payment Plan
by Andrew Kalotay & Leslie Abreo
January 2003, Volume 4, Issue 2
- 5-18 Long‐Term Economic and Market Trends and Their Implications for Asset/Liability Management of Insurance Companies
by Christian Gilles & Larry Rubin & John Ryding & Leo M. Tilman & Ajay Rajadhyaksha - 19-28 Exploring the Limitations of Value at Risk: How Good Is It in Practice?
by Andreas Krause - 29-42 The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
by Chris Brooks & Gita Persand - 43-46 A Shortcut to Sign Incremental Value at Risk for Risk Allocation
by Dirk Tasche & Luisa Tibiletti - 47-55 The Effect of Model Risk on the Valuation of Barrier Options
by Ali Hirsa & Georges Courtadon & Dilip B. Madan - 56-67 The Impact of Valuation Uncertainty in the Pricing of Risky Debt
by Jorge R. Sobehart & Sean C. Keenan
April 2002, Volume 4, Issue 1
- 7-14 Quantitative Terrorism Risk Assessment
by Gordon Woo - 15-24 Advanced Techniques for Modeling Terrorism Risk
by John A. Major - 25-36 The Near‐Miss Management of Operational Risk
by Alexander Muermann & Ulku Oktem - 37-41 The Financial Market Consequences of 9/11
by Richard A. Koss - 42-45 The Basel 2 Approach to Bank Operational Risk: Regulation on the Wrong Track
by Richard J. Herring - 47-56 Operational Risk Capital: A Problem of Definition
by Andrew Kuritzkes - 57-62 Legal Solvency Tests and Financial Economics
by J.B. Heaton
March 2002, Volume 3, Issue 4
- 6-34 Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation
by Robert G. Tompkins - 35-40 Assessing the Pre‐Commitment Approach to Bank Capital Regulation
by Kevin Dowd - 41-53 Dimension Reduction in the Computation of Value‐at‐Risk
by Claudio Albanese & Ken Jackson & Petter Wiberg - 54-72 Insuring California Earthquakes and the Role for Catastrophe Bonds
by Jose S. Penalva Zuasti - 73-82 Loss Ratio on Insurance Equity Securities: A New Step in Insurance Securitization
by Sylvie Bouriaux & David T. Russell - 83-87 Have Financial Markets Learned from Past Crises? (Part II)
by Leo M. Tilman & Ajay Rajadhyaksha
February 2002, Volume 3, Issue 3
- 6-13 The Impact of Liquidity Risk on the Prices of Swaps with Default Risk
by George L. Ye - 14-23 The Properties of Incremental VaR in Monte Carlo Simulations
by Zheng Wang - 24-35 Thoughts on Credit Risk Diversification: Comparing Credit Ratings Volatility Across Asset Classes
by Peter Rubinstein & Leo M. Tilman & Alan Todd - 36-47 What Drives Financial Innovation in the Insurance Industry?
by David Laster & Mayank Raturi - 48-59 The Pricing of Insurance‐Linked Securities Under Interest Rate Uncertainty
by Patrice Poncet & Victor E. Vaugirard - 60-64 Market Value of Insurance Contracts with Profit Sharing
by Pieter Bouwknegt & Antoon Pelsser - 65-71 An Introduction to Credit Derivatives
by Gunter Dufey & Florian Rehm
January 2002, Volume 3, Issue 2
- 6-21 Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates
by Anna Rita Bacinello & Svein‐Arne Persson - 22-33 An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements
by Chris Brooks & Andrew D. Clare & Gita Persand - 34-45 Risk‐Based Capital Allocation Using a Coherent Measure of Risk
by Manoj K. Singh - 46-52 Installment Options and Static Hedging
by Mark H.A. Davis & Walter Schachermayer & Robert G. Tompkins - 53-61 Hypothesis Test of Default Correlation and Application to Specific Risk
by Jongwoo Kim - 62-63 Have Financial Markets Learned from Past Crises?
by Leo M. Tilman
April 2001, Volume 3, Issue 1
- 9-17 Asset/Liability Management for Insurers in the New Era: Focus on Value
by David F. Babbel - 19-30 Life Insurance Contracts with Embedded Options
by Peter Løchte Jørgensen - 31-43 The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios
by Norbert J. Jobst & Stavros A. Zenios - 45-56 Factor Models: Portfolio Credit Risks When Defaults are Correlated
by Philipp J. Schönbucher - 57-71 Asset/Liability Management for Pension Funds Using CVaR Constraints
by Erik Bogentoft & H. Edwin Romeijn & Stanislav Uryasev
March 2001, Volume 2, Issue 4
- 5-15 Better Dynamic Hedging
by Jarrod Wilcox - 16-32 Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios
by François‐Serge Lhabitant - 33-38 Estimating the Failure Probabilities of Financial Institutions: A Simple Approach
by Kevin Dowd - 39-45 Territorial Diversification of Catastrophe Bonds
by Gordon Woo - 46-52 Stirrings in Secondary Markets
by Morton N. Lane