Journal of Risk Management in Financial Institutions

2007 - 2026

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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

Volume 2, issue 4, 2009

Ergodic failure: The key vulnerability in derivatives modelling pp. 336-339

Editorial Board Member,

Finance is directly related to the environment pp. 340-342

Odette Gregory

Measuring the risk of institutional change in European financial markets pp. 343-352

Wenjiang Jiang and Zhenyu Wu

An alternative methodology for estimating credit quality transition matrices pp. 353-364

Jose Gomez-Gonzalez, Paola Morales Acevedo, Fernando Pineda García and Nancy Zamudio Gómez

A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models pp. 365-393

Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki

From risk management to ERM pp. 394-408

Michel Rochette

Managing structured bonds: An analysis using RAROC and EVA pp. 409-426

Rosa Cocozza and Albina Orlando

Applying knowledge management to enterprise risk management: Is there any value in using KM for ERM? pp. 427-437

Eduardo Rodriguez and John S. Edwards

Minimising operational risk in portfolio allocation decisions pp. 438-450

José Luiz Barros Fernandes and Jose Ornelas

`Restructuring and Workouts — Strategies for Maximizing Value Consulting;` Edited by Ben Larkin pp. 451-453

Francis Breedon

Volume 2, issue 3, 2009

ERM: A strategic tool for hedging performance disruptions pp. 232-237

Prodyot Samanta

Market turmoil from subprime to Jerome Kerviel: Are models letting the industry down? pp. 238-242

Leonard Matz

Have we gone too VAR? The forsaken side of risk management pp. 243-249

W. Randall Payant

Equity valuation: The effect of market share dynamics on the value of multiple product lines pp. 250-258

Srdjan Stojanovic

The drawbacks of VaR's, or risk management's Byzantine discussion pp. 259-264

Javier A. Angulo

Retail credit capital charge optimisation and the new Basel Accord pp. 265-283

Marius Botha and Gary Van Vuuren

Managing operational risk: Creating incentives for reporting and disclosing pp. 284-300

Sebastian Hain

The need for greater focus on non-traditional risks: The case of Northern Rock pp. 301-305

Vijaya Sampath

Financial risk and capital adequacy: The moral hazard problem pp. 306-323

Mei-Ying Liu

`Commodity Derivatives: Markets and Applications` by Krzysztof Jajuga pp. 324-325

Krzysztof Jajuga

`Risk Analysis: A Quantitative Guide, 3rd edition` by David Vose pp. 326-327

Krzysztof Jajuga

Volume 2, issue 2, 2009

Black holes in risk governance pp. 116-120

Miriam Garnier

Calibrating exposure at default for corporate credit lines pp. 121-129

Gabriel Jimenez, Jose Lopez and Jesús Saurina

Pension fund risk management: Multi-stakeholders, risk management and the embedded options approach pp. 130-140

Theo Kocken

Is China's bond market really inefficient? pp. 141-154

Desmond W. P. Li

Creating synergy by integrating enterprise risk management and governance pp. 155-164

Jean Hinrichs

Capital allocation for operational risk pp. 165-174

Michael Brunner, Fabio Piacenza, Fabio Monti and Davide Bazzarello

Risk-neutral versus objective loss distribution and CDO tranche valuation pp. 175-192

Roberto Torresetti, Damiano Brigo and Andrea Pallavicini

Credit derivatives: Banks' behaviour, financial stability and banking regulation pp. 193-213

Konstantinos N. Karras

The implosion of the Alt-A mortgage-backed securities market pp. 214-225

Luke Woodward and Sudhakar Raju

Volume 2, issue 1, 2008

The financial crisis and operational risk management: Unfinished business pp. 4-6

Unknown

Chief risk officers at crunch time: Compliance champions or business partners? pp. 7-25

Anette Mikes

Investors at a crossroads: Implications for risk management, trading and the real economy pp. 26-35

Riccardo Rebonato

An arbitrage-based risk diagnostic of the cross-currency basis swap pp. 36-46

Richard Wise

Financial services in crisis: Operational risk management to the rescue! pp. 47-56

Allan D. Grody and Peter J. Hughes

Reporting alignment in the new regulatory environment pp. 57-68

Bryan Joseph, Richard Barfield and Frank Lyhne Hansen

Measuring the relationship between supervisory authorities and banks: An assessment of the German banking sector pp. 69-87

Stephan Paul, Stefan Stein and Andre´ Uhde

Abnormal return patterns and hedge fund failures pp. 88-106

Bhaswar Gupta and Hossein Kazemi

`Managing Risk in Extreme Environments` by Duncan Martin pp. 107-109

David Bobker