Journal of Risk Management in Financial Institutions

2007 - 2025

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Volume 4, issue 4, 2011

Blurring the lines pp. 324-326

Frances Maguire and Joel Bessis

Managing inflationary risk in a dollar-priced world — A key policy priority for G-20 pp. 327-333

Editorial Board Member (Anonymous),

Risk-minimising investment strategies — Embedding portfolio optimisation into a dynamic insurance framework pp. 334-369

Ursula Theiler

The computation of optimised credit transition matrices pp. 370-391

Kete Long, Sean C. Keenan, Radu Neagu, John A. Ellis and Jason W. Black

The Crash-NIG copula model: Risk measurement and management of credit portfolios pp. 392-412

Anna Schlösser and Rudi Zagst

Market BuVaR: A countercyclical risk metric pp. 419-432

Max Wong

Volume 4, issue 3, 2011

Guest Editorial pp. 212-215

Damiano Brigo and Rita L. D'Ecclesia

Causes of the economic crisis: Can the flap of a butterfly wing in Brazil destroy the Coliseum … after 30 years? pp. 216-228

Giorgio Szego

Monetary policy, financial stability and interest rate rules pp. 229-242

Giorgio Di Giorgio and Zeno Rotondi

Credit models and the crisis: An overview pp. 243-253

Damiano Brigo, Andrea Pallavicini and Roberto Torresetti

Market impact measurement of a VWAP trading algorithm pp. 254-274

Jan Fraenkle, Svetlozar (Zari) Rachev and Christian Scherrer

Modelling longevity risk in practice pp. 275-285

Frank Schiller and Susanne Lepschi

Distortion risk measures for hedge funds pp. 286-300

Hélyette Geman and Cécile Kharoubi-Rakotomalala

Integration of energy commodity markets in Europe and the USA pp. 301-313

Cristina Bencivenga, Giulia Sargenti and Rita D'Ecclesia

`An Integrated Approach to AssetLiability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams` by Lionel Martellini and Vincent Milhau pp. 314-316

Riccardo Rebonato

Volume 4, issue 2, 2011

Liquidity risk: A risk left to be tamed pp. 108-111

Joel Bessis

Central counterparties — New uses for a century-old market mechanism pp. 112-116

Allan D. Grody

A risk-adjusted pricing model for bank loans: Challenging issues from Basel II pp. 117-145

Domenico Curcio and Igor Gianfrancesco

Comparative analysis of multiple-guarantor agreements pp. 146-161

Issouf Soumaré, Fabien Youbissi and Michel Gendron

Effectively hedging the interest rate risk of wide floating-rate coupon spreads pp. 162-179

Thomas Schröder and Kwamie Dunbar

How valuable is your VaR? Large sample confidence intervals for normal VaR pp. 189-200

Franck Moraux

`Rethinking Risk Measurement and Reporting — Vols I and II Uncertainty, Bayesian Analysis and Expert Judgement — Vol. I Examples and Applications from Finance — Vol. II` Edited by Klaus Böcker pp. 201-202

Krzysztof Jajuga

Volume 4, issue 1, 2010

Testing times pp. 4-5

Frances Maguire and Joel Bessis

Who should the Director of the Office of Financial Research be and why should we care? pp. 6-7

Allan D. Grody and Robert M. Mark

Liquidity risk premium in costing of equity capital pp. 8-11

Editorial Board Member,

Adopting risk intelligence in today's volatile market pp. 12-17

Allen Whipple

Managing your career in risk post-credit crunch pp. 18-22

Katie Harding

Avoiding the pitfalls of enterprise risk management pp. 23-28

Leigh Bates

Information theoretic generator estimation with an application to ratings process migration pp. 29-45

Jeffrey Stokes

Risk management and team-managed mutual funds pp. 57-73

Michaela Bär, Conrad S. Ciccotello and Stefan Ruenzi

The impact of bank mergers on liquidity creation pp. 74-96

Elisabeta Pana, Jin Park and Tim Query

`The Known, the Unknown, and the Unknowable in Financial Risk Management Edited` by Francis Diebold, Neil Doherty and Richard Herring pp. 97-100

David Bobker

Volume 3, issue 4, 2010

Editorial pp. 312-317

Unknown

Prediction tools: Financial market regulation, politics and psychology pp. 318-333

Shabnam Mousavi and Hersh Shefrin

Validation of economic capital models: State of the practice, supervisory expectations and results from a bank study pp. 334-365

Michael Jacobs, Jr

When swans are grey: VaR as an early warning signal pp. 366-379

Daniel Satchkov

A simple method for time scaling value-at-risk: Let the data speak for themselves pp. 380-391

Kamal Hamidieh and Katherine Bennett Ensor

Combining non-constant weights with historical simulation VaR pp. 392-404

Riccardo Rebonato and Vasant Shanbhogue

`Financial Darwinism` by Leo Tilman pp. 405-406

Michael Ong

Volume 3, issue 3, 2010

Editorial pp. 208-210

Joel Bessis

Market crises, the financial system and the real economy: Analysis and implications for the global financial services industry pp. 211-230

Claudio Scardovi, Stefano Gatti and Damiano Ventola

Using truncated Lévy flight to estimate downside risk pp. 231-242

James X. Xiong

Diversification effects in operational risk: A robust approach pp. 243-258

Fabio Monti, Michael Brunner, Fabio Piacenza and Davide Bazzarello

Performance of monthly multivariate filtered historical simulation value-at-risk pp. 259-277

Stéphane Chrétien, Frank Coggins and Yves Trudel

Banking regulation, behavioural finance and the financial crisis in Europe: Looking to the Kindleberger-Minsky paradigm pp. 278-295

Yves Rannou

Why regulation is an opportunity to build a long-term profitable future pp. 296-299

Jim Devern

Grey swans, black swans and risk management pp. 300-303

Sudhakar Raju

`Operational Risk Assessment: The Commercial Imperative of a More Forensic and Transparent Approach` by Brendon Young and Rodney Coleman pp. 304-305

Allan Grody

Volume 3, issue 2, 2010

All Clear? pp. 114-115

Frances Maguire

Risk governance at large banks: Have any lessons been learned? pp. 116-123

Alessandra Mongiardino and Christian Plath

Regulatory arbitrage and model sophistication in the financial crisis pp. 124-134

Antoine Frachot

On the use of covered bonds as an alternative mortgage funding model for US banks pp. 135-147

Rita Biswas, David A. Buzen and Hany A. Shawky

Post-crisis financial risk management: Some suggestions pp. 148-155

Riccardo Rebonato

Implied asset correlation in retail loan portfolios pp. 156-173

Marius Botha and Gary Van Vuuren

Portfolio management with semi-parametric bootstrapping pp. 174-183

Beatriz Vaz De Melo Mendes and Ricardo Pereira Câmara Leal

Managing the riskiness of defined contribution pension funds in a fair-valuation context pp. 184-193

Albina Orlando and Massimiliano Politano

`Global Financial Crisis: Navigating and Understanding the Legal and Regulatory Aspects Consulting;` Edited by Eugenio A. Bruno pp. 194-197

Joanna Gray and Riccardo Rebonato

Volume 3, issue 1, 2010

Responses to the financial crisis pp. 4-6

Joel Bessis and Frances Maguire

How has Solvency II been affected by the financial crisis and how will it affect risk management among insurers? pp. 7-10

Sue Kean

Making the numbers talk: Too much reliance on quantitative measures and too little on qualitative risk analysis pp. 11-15

Peter Jeffreys

Modelling correlations in credit portfolio risk pp. 16-30

Bernd Rosenow and Rafael Weissbach

The crash sonata in D major pp. 31-45

Giorgio Szego

Documentation risk in credit default swaps: When is a hedge not a hedge? pp. 46-56

Mark Griffiths and Philip Drake

Spanish savings institutions and the role of cuotas participativas in times of crisis pp. 57-64

Francisco Escribano and Isabel Pardo

A stochastic processes toolkit for risk management: Mean reverting processes and jumps pp. 65-83

Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki

Prime loss: A case study in operational risk pp. 84-104

Patrick Mcconnell

Equity Derivatives: Documenting and Understanding Equity Derivative Products by Edmund Parker pp. 105-106

Krzysztof Jajuga