Journal of Risk Finance: Volume 1 Issue 1

Creating Shareholder Value: Turning Risk Management into a Competitive Advantage

STEVE STRONGIN, MELANIE PETSCH

Many companies have either rejected or reduced the size of risk management (hedging) programs because they do not believe that the market will reward them sufficiently for the…

Risk Allocation for Pension Funds: Beyond Measurement to Management

HUBERT SHEN

Risk allocation as currently practiced in pension funds is typically characterized by: 1) measurement of the risk of returns relative to a benchmark, and 2) the assignment of…

Investing in Leveraged Index Funds

NICHOLAS G. POLSON, JEFFREY YASUMOTO

Standard financial models predict that investors who are willing to hold an investment in the short‐run will hold the same investment for the long‐run. It is well known that a…

P&C RAROC: A Catalyst for Improved Capital Management in the Property and Casualty Insurance Industry

PETER NAKADA, HEMANT SHAH, H. UGUR KOYLUOGLU, OLIVIER COLLIGNON

Is the U.S. property & casualty (P&C) insurance industry overcapitalized? Many practitioners and industry observers claim that the industry is awash in capital, and that this…

Risk Cubes or Price Risk and Ratings (Part II)

MORTON N. LANE, OLEG Y. MOVCHAN

Risk is difficult to measure — so difficult that no single measure seems robust enough for all circumstances. This is especially true of measuring the risk contained in…

Commercial Paper Defaults and Rating Transitions, 1972–1995

LEA V. CARTY, DANA LIEBERMAN

Investors in commercial paper (CP) markets include money market mutual funds, corporate treasurers, state and local governments, and commercial banks and their trust departments…

A User's Guide to Interest Rate Models: Applications for Structured Finance

J. PAUL JOSHI, LARRY SWERTLOFF

The advent of derivatives and structured products has coincided with a proliferation of fixed income models used to analyze hedging, pricing, forecasting, and estimation for the…