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Content
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