Journal of Risk Management in Financial Institutions

2007 - 2026

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Volume 5, issue 4, 2012

FX: The clearing conundrum pp. 356-358

Frances Maguire and Joel Bessis

The BIS operational risk reviews: Let us not miss the chance of necessary change pp. 359-362

David Millar

The influence of accounting standards on the performance of the insurance sector pp. 363-367

Therese M. Vaughan

Quantitative easing: Implications for bond market volatility pp. 368-371

Editorial Board Member (Anonymous),

The effects and risks of quantitative easing pp. 372-389

Paul Mortimer-Lee

Is the build-up of TARGET2 balances a question of self-contained risk? pp. 390-397

Jens Ulbrich and Alexander Lipponer

Evaluation of the Basel VaR-based market risk charge and proposals for a needed adjustment pp. 398-420

Jens Fricke and Ralf Pauly

Commercial real estate stress testing in community banks: The low stress kind pp. 421-431

Brian W. Jones

Quality measures of scoring models pp. 432-446

Paweł Siarka

Volume 5, issue 3, 2012

Guest Editorial pp. 220-223

Eduardo Canabarro, Allan D. Grody, Eliza Hammel and Til Schuermann

On counterparty risk pp. 224-226

Andrew Haldane

Counterparty credit risk — news, views and open issues pp. 227-233

Klaus Böcker and Roland Stamm

General wrong-way risk and stress calibration of exposure pp. 234-251

Michael Pykhtin

CVA the wrong way pp. 252-272

Dan Rosen and David Saunders

Quantification of central counterparty risk pp. 273-287

Matthias Arnsdorf

Legal and regulatory update: Global identification standards for counterparties and other financial market participants pp. 288-304

Allan D. Grody, Peter J. Hughes and Daniel Reininger

Data aggregation and counterparty identification — considerations for systemic risk analysis pp. 305-313

Dilip Krishna

Fallacy of moving the OTC derivatives market to CCPs pp. 314-318

Manmohan Singh

The systemic risks of OTC derivatives central clearing pp. 319-334

David Murphy

OTC central counterparty clearing: Myths and reality pp. 335-346

Alistair Milne

`The Devil’s Derivatives` by Nicholas Dunbar pp. 347-349

Allan Grody

Volume 5, issue 2, 2012

The Governance of Risk pp. 108-111

David R. Koenig

Risk and the shareholder pp. 112-114

Robert A. G. Monks

ICGN corporate risk oversight guidelines: The role of the board and institutional shareholders pp. 115-127

Erik Breen, Andrew Clearfield and Karol Klimczak

The governance of strategic risks in systemically important banks pp. 128-142

Patrick Mcconnell

Our inability to judge time frames pp. 143-145

Jon Lukomnik

Data quality in banking: Regulatory requirements and best practices pp. 146-161

Michele Bonollo and Massimiliano Neri

Transferring knowledge of risk management to the board of directors and executives pp. 162-180

Eduardo Rodriguez and John S. Edwards

The new model of governance and risk management for financial institutions pp. 181-193

John Bugalla, James Kallman, Steve Lindo and Kristina Narvaez

The governance of value(s) pp. 194-210

David R. Koenig

`The Corporate Value of ERM — The Next Step in Business Management` by Sim Segal pp. 211-212

Riccardo Rebonato

`The Unravelling of Structured Investment Vehicles: How Liquidity Leaked Through SIVs` by Henry Tabe pp. 213-217

Torres Gustavo A.

Volume 5, issue 1, 2011

Financial losses: An endless story pp. 5-9

Joel Bessis and Frances Maguire

Value optimisation in a regulatory constrained regime — A new look at risk vs return optimisation pp. 10-35

Peter Miu, Bogie Ozdemir and Michael Giesinger

Modelling systemic liquidity risk with feedback effects in the UK banking sector pp. 36-59

Gary Van Vuuren

A value-at-risk approach to commercial real estate portfolio stress testing at US community banks pp. 60-75

John Hall, David Kern, Timothy Yeager, Tom King and Kevin Lee

The calculation of portfolio unexpected loss in credit and operational risk pp. 76-85

Michael Samuels

Credit BuVaR: Asymmetric spread VaR with default pp. 86-95

Max Wong

`Report on Trading of OTC Derivatives of the Technical Committee of the International Organization of Securities Commissions` pp. 96-100

Allan Grody

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