Journal of Risk Finance: Volume 15 Issue 3

Shadow credit and the private, middle market: Pre-crisis and post-crisis developments, data trends and two examples of private, non-bank lending

Craig Anthony Zabala, Jeremy M. Josse

The purpose of this paper is to analyze a particular segment of the US “shadow banking” market and its revival since the recent credit crisis, namely, lending to the private…

A robust pricing of specific structured bonds with coupons

Anastasios Evgenidis, Costas Siriopoulos

– The purpose of this paper is to present an innovative model to evaluate the fair price of a subset of structured products for a hypothetical US structured bond.

Loss reserve variability and loss reserve errors: An empirical analysis of the Ghanaian property and liability insurance industry

Enoch Nii Boi Quaye, Charles Andoh, Anthony Q.Q. Aboagye

The purpose of this study is to assess the level and variability of Ghanaian property and liability insurer’s reserve estimates to examine its sources and ascertain if reserve…

Fundamental indexation for bond markets

Marielle de Jong, Hongwen Wu

The purpose of this paper is to build alternative indices weighing using a measure of fundamental value rather than debt size. The official bond indices built to reflect general…

Operational drivers affecting credit risk of mutual guarantee institutions

Lorenzo Gai, Federica Ielasi

The purpose of this paper is to investigate the drivers influencing the risk of default on mutual guaranteed loans. The authors aim to verify whether default is influenced by the…

Tail events in the FX markets since 1740

Kim Abildgren

– The purpose of this paper is to explore the extent of the so-called “small-sample problem” within quantitative exchange-rate risk management.