Journal of Risk Finance

1999 - 2024

Current editor(s): Nawazish Mirza

From Emerald Group Publishing Limited
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Volume 2, issue 4, 2001

Better Dynamic Hedging pp. 5-15

Jarrod Wilcox

Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios pp. 16-32

François‐serge Lhabitant

Estimating the Failure Probabilities of Financial Institutions: A Simple Approach pp. 33-38

Kevin Dowd

Territorial Diversification of Catastrophe Bonds pp. 39-45

Gordon Woo

Stirrings in Secondary Markets pp. 46-52

Morton N. Lane

Untangling Spreads: Risk, Credit, Liquidity and All That pp. 53-59

Leo M. Tilman and Gene Cohler

Volume 2, issue 3, 2001

The Value of Integrative Risk Management for Insurance Products with Guarantees pp. 6-16

Andrea Consiglio, Flavio Cocco and Stavros Zenios

Estimating Credit Risk Capital: What's the Use? pp. 17-34

Paul Kupiec

Applying Portfolio Credit Risk Models to Retail Portfolios pp. 35-61

Nisso Bucay and Dan Rosen

CDOs as Self‐Contained Reinsurance Structures pp. 62-69

Morton N. Lane

Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risks! pp. 70-82

J.V. Andersen and D. Sornette

Measuring Predictive Accuracy of Value‐at‐Risk Models: Issues, Paradigms, and Directions pp. 83-91

Leo M. Tilman and Pavel Brusilovskiy

Volume 2, issue 2, 2001

Cumulative Losses, Capital Reserves, and Loss Limits pp. 6-17

Hubert Shen

The Emerging Role of Patent Law in Risk Finance pp. 18-28

J.B. Heaton

Using Cat Models for Optimal Risk Allocation of P&C Liability Portfolios pp. 29-35

Lixin Zeng

Applying Scenario Optimization to Portfolio Credit Risk pp. 36-48

Helmut Mausser and Dan Rosen

Calculating VaR Through Quadratic Approximations pp. 49-55

Jorge Mina

Risk Management Revolution: The Morning After pp. 56-60

Leo M. Tilman

Volume 2, issue 1, 2000

Investing in Skews pp. 10-18

Dilip B. Madan and Gavin S. McPhail

Model‐Independent Measures of Volatility Exposure pp. 19-26

Alvin Kuruc

Does Volatility Pay? pp. 27-35

Giovanni Barone‐adesi

A Practitioner's Guide to Active Portfolio Management Using Implied View pp. 36-41

Bernard Lee

Capital Requirement: A New Method Based on Extreme Price Variations pp. 42-50

François Longin

Accounting for Value at Risk in Financial Institutions' Portfolios pp. 51-58

Kevin Dowd

Sending the Herd Off the Cliff Edge: The Disturbing Interaction Between Herding and Market‐Sensitive Risk Management Practices pp. 59-65

Avinash Persaud

Efficient Risk/Return Frontiers for Credit Risk pp. 66-78

Helmut Mausser and Dan Rosen

Volume 1, issue 4, 2000

Memoryless Trading pp. 4-6

William Eckhardt and Nicholas G. Polson

Actuarial versus Financial Pricing of Insurance pp. 17-26

Paul Embrechts

On the Basis Risk of Industry Loss Warranties pp. 27-32

Lixin Zeng

Price Discovery and Energy Risk, or How Futures Contracts Are Changing the Energy Markets Forever: The Case of the New York Mercantile Exchange pp. 33-42

Daniel Rappaport

Estimating Value at Risk: A Subjective Approach pp. 43-46

Kevin Dowd

Changing Regulatory Capital to Include Liquidity and Management Intervention pp. 47-54

Chris Marrison, Til Schuermann and John D. Stroughair

An Empirical Assessment of a Simple Contingent‐Claims Model for the Valuation of Risky Debt pp. 55-77

Jeffrey R. Bohn

Volume 1, issue 3, 2000

Quantifying Event Risk: The Next Convergence pp. 9-22

Robert Ceske, José V. Hernández and Luis M. Sánchez

Customizing Indemnity Contracts and Indexed Cat Bonds for Natural Hazard Risks pp. 24-41

David Croson and Howard C. Kunreuther

Toward a Better Estimation of Wrong‐Way Credit Exposure pp. 43-51

Christopher C. Finger

A Survey of Contingent‐Claims Approaches to Risky Debt Valuation pp. 53-70

Jeffrey R. Bohn

Pricing Weather Derivatives pp. 72-78

Lixin Zeng

Volume 1, issue 2, 2000

Hedging Financial Risks Subject to Asymmetric Information pp. 9-18

Angelo Arvanitis, Jonathon Gregory and Richard Martin

Weather Derivatives and Their Implications for Power Markets pp. 19-28

Don Ellithorpe and Scott Putnam

Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management pp. 30-35

Francis Diebold, Til Schuermann and John D. Stroughair

Another Perspective on Credit Risk Transfer and Asset Securitization pp. 37-47

Richard Cantor and Stanislas Rouyer

Analyzing Insurance‐Linked Securities pp. 49-75

Eduardo Canabarro, Markus Finkemeier, Richard R. Anderson and Fouad Bendimerad

Volume 1, issue 1, 1999

Creating Shareholder Value: Turning Risk Management into a Competitive Advantage pp. 11-27

Steve Strongin and Melanie Petsch

Risk Allocation for Pension Funds: Beyond Measurement to Management pp. 29-39

Hubert Shen

Investing in Leveraged Index Funds pp. 41-51

Nicholas G. Polson and Jeffrey Yasumoto

P&C RAROC: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry pp. 52-69

Peter Nakada, Hemant Shah, H. Ugur Koyluoglu and Olivier Collignon

Risk Cubes or Price Risk and Ratings (Part II) pp. 71-86

Morton N. Lane and Oleg Y. Movchan

Commercial Paper Defaults and Rating Transitions, 1972–1995 pp. 87-105

Lea V. Carty and Dana Lieberman

A User's Guide to Interest Rate Models: Applications for Structured Finance pp. 106-114

J. Paul Joshi and Larry Swertloff