Journal of Risk Finance: Volume 1 Issue 2

Hedging Financial Risks Subject to Asymmetric Information

Angelo Arvanitis, Jonathon Gregory, Richard Martin

This article presents a generalized approach to pricing risk in markets that are subject to information asymmetries. Asymmetric information can result in prohibitive trading costs…

Weather Derivatives and Their Implications for Power Markets

Don Ellithorpe, Scott Putnam

Major segments of the U.S. economy are affected by weather. With the emergence of weather derivatives, exposure to weather‐related risk has evolved from being merely accepted. As…

Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

Francis X. Diebold, Til Schuermann, John D. Stroughair

Extreme value theory (EVT) holds promise for advancing the assessment and management of extreme financial risks. Recent literature suggests that the application of EVT generally…

Another Perspective on Credit Risk Transfer and Asset Securitization

Richard Cantor, Stanislas Rouyer

Although issuers may benefit generally from securitization, some asset securitizations transfer more credit risk than others. When a lender uses securitization to replace…

Analyzing Insurance‐Linked Securities

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

Insurance‐linked securities can benefit both issuers and investors; they supply insurance and reinsurance companies with additional risk capital at reasonable prices (with little…