Journal of Risk Finance

1999 - 2025

Current editor(s): Nawazish Mirza

From Emerald Group Publishing Limited
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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

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

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

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

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

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

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

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