Journal of Risk Finance: Volume 2 Issue 3

The Value of Integrative Risk Management for Insurance Products with Guarantees

ANDREA CONSIGLIO, FLAVIO COCCO, STAVROS A. ZENIOS

Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability…

Estimating Credit Risk Capital: What's the Use?

PAUL KUPIEC

Risk capital is an important input for management functions. Capital structure decisions, capital budgeting, and ex post performance measurement require different measures of risk…

Applying Portfolio Credit Risk Models to Retail Portfolios

NISSO BUCAY, DAN ROSEN

In recent years, several methodologies for measuring portfolio credit risk have been introduced that demonstrate the benefits of using internal models to measure credit risk in…

CDOs as Self‐Contained Reinsurance Structures

MORTON N. LANE

In the convergence between the capital markets and reinsurance markets, the prime mover of insurance risk into capital markets have been investment banks. Also, among the most…

Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risks!

J.V. ANDERSEN, D. SORNETTE

In the real world, the variance of portfolio returns provides only a limited quantification of incurred risks, as the distributions of returns have “fat tails” and the dependence…

Measuring Predictive Accuracy of Value‐at‐Risk Models: Issues, Paradigms, and Directions

LEO M. TILMAN, PAVEL BRUSILOVSKIY

Value‐at‐Risk (VaR) has become a mainstream risk management technique employed by a large proportion of financial institutions. There exists a substantial amount of research…

Fundamentals of Financial Markets II: THE EDITORS OF THE JOURNAL OF RISK FINANCE

This is the second of three installments introducing fundamental concepts to convergence market participants who are less familiar with financial derivatives markets, instruments…