Table of contents
Cumulative Losses, Capital Reserves, and Loss Limits
Hubert ShenThis article addresses the issue of cumulative losses that fund managers, reinsurers, and bankers all face. The author shows how to estimate expected multi‐period (cumulative…
The Emerging Role of Patent Law in Risk Finance
J.B. HeatonUntil recently, financial intermediaries have behaved as though immune from the bite of intellectual property law. However, recent decisions of the federal courts and acquiescence…
Using Cat Models for Optimal Risk Allocation of P&C Liability Portfolios
Lixin ZengThis article provides a general introduction to using catastrophe models to optimally manage the risk of a portfolio of Property & Casualty (P&C) liabilities. There is increasing…
Applying Scenario Optimization to Portfolio Credit Risk
Helmut Mausser, Dan RosenStandard market risk optimization tools, based on assumptions of normality, are ineffective for evaluating credit risk. In this article, the authors develop three scenario…
Calculating VaR Through Quadratic Approximations: Improving the Computational Efficiency of Complex Portfolio Risks
Jorge MinaVaR calculations often require the valuation of complex payoffs over a large set of scenarios. Since pricing complex derivatives is computationally expensive, there is a direct…
Risk Management Revolution: The Morning After
Leo M. TilmanToday, most institutional investors, practitioners, and regulators seem relatively content with the current state of the art. Although most academics and practitioners fully…
Fundamentals of Financial Markets I: A Primer
In response to reader demand, this is the first of three installments introducing fundamental concepts to those convergence market participants who are less familiar with…
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza