Journal of Risk Finance

1999 - 2024

Current editor(s): Nawazish Mirza

From Emerald Group Publishing Limited
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Volume 5, issue 4, 2004

M&A integration at Delta Connection Inc pp. 14-17

J.T. Fisher

Unlocking the value of corporate real estate pp. 20-21

Lauralee Martin

Capital market solutions to terrorism risk coverage: a feasibility study pp. 34-44

Sylvie Bouriaux and William L. Scott

Volume 5, issue 3, 2004

Assessing the regulatory impact: the challenges of UCITS III — Germany's regulators become the first to launch derivatives ordinance pp. 7-9

Kai D. Leifert

Assessing the regulatory impact: credit risk — going beyond Basel II pp. 10-13

Richard Tschemernjak

The continuing saga — Basel II developments: liquidity regulation into the 21st century pp. 23-27

Phil Leverick

The continuing saga — Basel II developments: bank capital management in the light of Basel II — how to manage capital in financial institutions pp. 28-33

David Rowe, Dean Jovic and Richard Reeves

Re‐assessing 21st century risk: 21st century trends in risk management — board level decisions set the agenda pp. 34-37

Chris Mundy

Re‐assessing 21st century risk: the reaction to risky financial reporting — the rise and rise of cash pp. 38-40

Jon Purr

The risk management of everything pp. 58-65

Michael Power

Volume 5, issue 2, 2004

Integrating Interest Rate Risk in Credit Portfolio Models pp. 6-15

Peter Grundke

Forecasting Retail Portfolio Credit Risk pp. 16-32

Daniel Rösch and Harald Scheule

Effect of Uncertainties in Modeling Tropical Cyclones on Pricing of Catastrophe Bonds:A Case Study pp. 33-44

Siamak Daneshvaran and Robert E. Morden

Arbitrage Algebra and the Price of Multi‐Peril ILS pp. 45-51

Morton N. Lane

Long‐Term Value at Risk pp. 52-57

Kevin Dowd, David Blake and Andrew Cairns

Developing and Implementing a Stochastic Decision‐Support Model Within an Organizational Context:Part II—The Organization pp. 58-63

Kjetil Høyland, Erik Ranberg and Stein Wallace

Volume 5, issue 1, 2003

Fat Tails, Scaling, and Stable Laws:A Critical Look at Modeling Extremal Events in Financial Phenomena pp. 5-26

Sergio M. Focardi and Frank J. Fabozzi

Pricing Vulnerable Options With Copulas pp. 27-39

Umberto Cherubini and Elisa Luciano

A Quantile‐Fitting Approach to Value at Risk for Options pp. 40-50

Doowoo Nam and Benton E. Gup

Discontinuous Hedging Strategies for Multi‐period Guarantees in Life Insurance pp. 51-63

Snorre Lindset

Impact of Risk Management on the Recent Market Volatility in the U.S. and Japan pp. 64-70

Leo M. Tilman, Raymond Wong and Misahiro Yamaguchi

Review of Trends in Insurance Securitization April 2002 to March 2003 pp. 71-87

Morton N. Lane and Roger G. Beckwith

Volume 4, issue 4, 2003

Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables pp. 6-17

Hipolit Torro, Vicente Meneu and Enric Valor

Global Warming and Financial Umbrellas pp. 18-25

Cesare Dosi and Michele Moretto

“Leapfrogging” the Variance: The Financial Management of Extreme‐Event Risk pp. 26-39

Michael R. Powers

Capital Markets and Insurance Cycles pp. 40-46

Kurt Karl, Thomas Holzheu and Mayank Raturi

Insurance League: Italy vs. U.K pp. 47-54

Andrea Consiglio, David Saunders and Stavros Zenios

Developing and Implementing a Stochastic Decision‐Support Model Within an Organizational Context:Part I—The Model pp. 55-60

Kjetil Høyland, Erik Ranberg and Stein Wallace

A Critique of Modeled Credit Default Swap Duration pp. 61-63

David A. Boberski

Volume 4, issue 3, 2003

Match Funding Prepayable Assets with Callable Debts Using Simulated Prepayment Bounds pp. 5-26

Shijun Liu and Peter A. Mozer

Risk Disaggregation and Credit Risk Valuation in a Merton Framework pp. 27-42

Hayette Gatfaoui

A Review of Stochastic Volatility Processes: Properties and Implications pp. 43-59

Dimitris Psychoyios, George Skiadopoulos and Panayotis Alexakis

Calculating Quantile‐Based Risk Analytics withL‐Estimators pp. 61-74

Helmut Mausser

The Risk Finance of Class Action Settlement Pressure pp. 75-81

J.B. Heaton

Insuring Callable Bonds: Selecting the Right Payment Plan pp. 82-86

Andrew Kalotay and Leslie Abreo

Volume 4, issue 2, 2003

Long‐Term Economic and Market Trends and Their Implications for Asset/Liability Management of Insurance Companies pp. 5-18

Christian Gilles, Larry Rubin, John Ryding, Leo M. Tilman and Ajay Rajadhyaksha

Exploring the Limitations of Value at Risk: How Good Is It in Practice? pp. 19-28

Andreas Krause

The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates pp. 29-42

Chris Brooks and Gita Persand

A Shortcut to Sign Incremental Value at Risk for Risk Allocation pp. 43-46

Dirk Tasche and Luisa Tibiletti

The Effect of Model Risk on the Valuation of Barrier Options pp. 47-55

Ali Hirsa, Georges Courtadon and Dilip B. Madan

The Impact of Valuation Uncertainty in the Pricing of Risky Debt pp. 56-67

Jorge R. Sobehart and Sean C. Keenan

Volume 4, issue 1, 2002

Quantitative Terrorism Risk Assessment pp. 7-14

Gordon Woo

Advanced Techniques for Modeling Terrorism Risk pp. 15-24

John A. Major

The Near‐Miss Management of Operational Risk pp. 25-36

Alexander Muermann and Ulku Oktem

The Financial Market Consequences of 9/11 pp. 37-41

Richard A. Koss

The Basel 2 Approach to Bank Operational Risk: Regulation on the Wrong Track pp. 42-45

Richard J. Herring

Operational Risk Capital: A Problem of Definition pp. 47-56

Andrew Kuritzkes

Legal Solvency Tests and Financial Economics pp. 57-62

J.B. Heaton

Volume 3, issue 4, 2002

Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation pp. 6-34

Robert G. Tompkins

Assessing the Pre‐Commitment Approach to Bank Capital Regulation pp. 35-40

Kevin Dowd

Dimension Reduction in the Computation of Value‐at‐Risk pp. 41-53

Claudio Albanese, Ken Jackson and Petter Wiberg

Insuring California Earthquakes and the Role for Catastrophe Bonds pp. 54-72

Jose S. Penalva Zuasti

Loss Ratio on Insurance Equity Securities: A New Step in Insurance Securitization pp. 73-82

Sylvie Bouriaux and David T. Russell

Have Financial Markets Learned from Past Crises? (Part II) pp. 83-87

Leo M. Tilman and Ajay Rajadhyaksha

Volume 3, issue 3, 2002

The Impact of Liquidity Risk on the Prices of Swaps with Default Risk pp. 6-13

George L. Ye

The Properties of Incremental VaR in Monte Carlo Simulations pp. 14-23

Zheng Wang

Thoughts on Credit Risk Diversification: Comparing Credit Ratings Volatility Across Asset Classes pp. 24-35

Peter Rubinstein, Leo M. Tilman and Alan Todd

What Drives Financial Innovation in the Insurance Industry? pp. 36-47

David Laster and Mayank Raturi

The Pricing of Insurance‐Linked Securities Under Interest Rate Uncertainty pp. 48-59

Patrice Poncet and Victor E. Vaugirard

Market Value of Insurance Contracts with Profit Sharing pp. 60-64

Pieter Bouwknegt and Antoon Pelsser

An Introduction to Credit Derivatives pp. 65-71

Gunter Dufey and Florian Rehm

Volume 3, issue 2, 2002

Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates pp. 6-21

Anna Rita Bacinello and Svein‐arne Persson

An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements pp. 22-33

Chris Brooks, Andrew D. Clare and Gita Persand

Risk‐Based Capital Allocation Using a Coherent Measure of Risk pp. 34-45

Manoj K. Singh

Installment Options and Static Hedging pp. 46-52

Mark H.A. Davis, Walter Schachermayer and Robert G. Tompkins

Hypothesis Test of Default Correlation and Application to Specific Risk pp. 53-61

Jongwoo Kim

Have Financial Markets Learned from Past Crises? pp. 62-63

Leo M. Tilman

Volume 3, issue 1, 2001

Asset/Liability Management for Insurers in the New Era: Focus on Value pp. 9-17

David Babbel

Life Insurance Contracts with Embedded Options pp. 19-30

Peter Jørgensen

The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios pp. 31-43

Norbert J. Jobst and Stavros Zenios

Factor Models: Portfolio Credit Risks When Defaults are Correlated pp. 45-56

Philipp J. Schönbucher

Asset/Liability Management for Pension Funds Using CVaR Constraints pp. 57-71

Erik Bogentoft, H. Edwin Romeijn and Stanislav Uryasev