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Content
January 2007, Volume 8, Issue 1
- 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 - 53-59 Untangling Spreads: Risk, Credit, Liquidity and All That
by Leo M. Tilman & Gene Cohler
February 2001, Volume 2, Issue 3
- 6-16 The Value of Integrative Risk Management for Insurance Products with Guarantees
by Andrea Consiglio & Flavio Cocco & Stavros A. Zenios - 17-34 Estimating Credit Risk Capital: What's the Use?
by Paul Kupiec - 35-61 Applying Portfolio Credit Risk Models to Retail Portfolios
by Nisso Bucay & Dan Rosen - 62-69 CDOs as Self‐Contained Reinsurance Structures
by Morton N. Lane - 70-82 Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risks!
by J.V. Andersen & D. Sornette - 83-91 Measuring Predictive Accuracy of Value‐at‐Risk Models: Issues, Paradigms, and Directions
by Leo M. Tilman & Pavel Brusilovskiy
January 2001, Volume 2, Issue 2
- 6-17 Cumulative Losses, Capital Reserves, and Loss Limits
by Hubert Shen - 18-28 The Emerging Role of Patent Law in Risk Finance
by J.B. Heaton - 29-35 Using Cat Models for Optimal Risk Allocation of P&C Liability Portfolios
by Lixin Zeng - 36-48 Applying Scenario Optimization to Portfolio Credit Risk
by Helmut Mausser & Dan Rosen - 49-55 Calculating VaR Through Quadratic Approximations
by Jorge Mina - 56-60 Risk Management Revolution: The Morning After
by Leo M. Tilman
April 2000, Volume 2, Issue 1
- 10-18 Investing in Skews
by Dilip B. Madan & Gavin S. Mcphail - 19-26 Model‐Independent Measures of Volatility Exposure
by Alvin Kuruc - 27-35 Does Volatility Pay?
by Giovanni Barone‐Adesi - 36-41 A Practitioner's Guide to Active Portfolio Management Using Implied View
by Bernard Lee - 42-50 Capital Requirement: A New Method Based on Extreme Price Variations
by François Longin - 51-58 Accounting for Value at Risk in Financial Institutions' Portfolios
by Kevin Dowd - 59-65 Sending the Herd Off the Cliff Edge: The Disturbing Interaction Between Herding and Market‐Sensitive Risk Management Practices
by Avinash Persaud - 66-78 Efficient Risk/Return Frontiers for Credit Risk
by Helmut Mausser & Dan Rosen
March 2000, Volume 1, Issue 4
- 4-6 Memoryless Trading
by William Eckhardt & Nicholas G. Polson - 17-26 Actuarial versus Financial Pricing of Insurance
by Paul Embrechts - 27-32 On the Basis Risk of Industry Loss Warranties
by Lixin Zeng - 33-42 Price Discovery and Energy Risk, or How Futures Contracts Are Changing the Energy Markets Forever: The Case of the New York Mercantile Exchange
by Daniel Rappaport - 43-46 Estimating Value at Risk: A Subjective Approach
by Kevin Dowd - 47-54 Changing Regulatory Capital to Include Liquidity and Management Intervention
by Chris Marrison & Til Schuermann & John D. Stroughair - 55-77 An Empirical Assessment of a Simple Contingent‐Claims Model for the Valuation of Risky Debt
by Jeffrey R. Bohn
February 2000, Volume 1, Issue 3
- 9-22 Quantifying Event Risk: The Next Convergence
by Robert Ceske & José V. Hernández & Luis M. Sánchez - 24-41 Customizing Indemnity Contracts and Indexed Cat Bonds for Natural Hazard Risks
by David C. Croson & Howard C. Kunreuther - 43-51 Toward a Better Estimation of Wrong‐Way Credit Exposure
by Christopher C. Finger - 53-70 A Survey of Contingent‐Claims Approaches to Risky Debt Valuation
by Jeffrey R. Bohn - 72-78 Pricing Weather Derivatives
by Lixin Zeng
January 2000, Volume 1, Issue 2
- 9-18 Hedging Financial Risks Subject to Asymmetric Information
by Angelo Arvanitis & Jonathon Gregory & Richard Martin - 19-28 Weather Derivatives and Their Implications for Power Markets
by Don Ellithorpe & Scott Putnam - 30-35 Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
by Francis X. Diebold & Til Schuermann & John D. Stroughair - 37-47 Another Perspective on Credit Risk Transfer and Asset Securitization
by Richard Cantor & Stanislas Rouyer - 49-75 Analyzing Insurance‐Linked Securities
by Eduardo Canabarro & Markus Finkemeier & Richard R. Anderson & Fouad Bendimerad
January 1999, Volume 1, Issue 1
- 11-27 Creating Shareholder Value: Turning Risk Management into a Competitive Advantage
by Steve Strongin & Melanie Petsch - 29-39 Risk Allocation for Pension Funds: Beyond Measurement to Management
by Hubert Shen - 41-51 Investing in Leveraged Index Funds
by Nicholas G. Polson & Jeffrey Yasumoto - 52-69 P&C RAROC: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry
by Peter Nakada & Hemant Shah & H. Ugur Koyluoglu & Olivier Collignon - 71-86 Risk Cubes or Price Risk and Ratings (Part II)
by Morton N. Lane & Oleg Y. Movchan - 87-105 Commercial Paper Defaults and Rating Transitions, 1972–1995
by Lea V. Carty & Dana Lieberman - 106-114 A User's Guide to Interest Rate Models: Applications for Structured Finance
by J. Paul Joshi & Larry Swertloff