Journal of Risk Finance: Volume 1 Issue 3

Quantifying Event Risk: The Next Convergence

ROBERT CESKE, JOSÉ V. HERNÁNDEZ, LUIS M. SÁNCHEZ

Operational or event risk is not a new phenomenon for financial services companies. However, its measurement, as part of integrated risk management programs, has been the subject…

Customizing Indemnity Contracts and Indexed Cat Bonds for Natural Hazard Risks

DAVID C. CROSON, HOWARD C. KUNREUTHER

This article examines how reinsurance coupled with new financial instruments can expand coverage to areas exposed to catastrophe losses from natural disasters, and demonstrates…

Toward a Better Estimation of Wrong‐Way Credit Exposure

CHRISTOPHER C. FINGER

In counterparty credit risk management for swaps, forwards, and other derivative contracts, it is recognized that most common applications of credit exposure measurement suffer…

A Survey of Contingent‐Claims Approaches to Risky Debt Valuation

JEFFREY R. BOHN

This article surveys available research on the contingent‐claims approach to risky debt valuation. The author describes both the structural and reduced form versions of contingent…

Pricing Weather Derivatives

LIXIN ZENG

This article briefly reviews the background of weather derivatives. The primary goal is to develop a pricing scheme that accommodates and reflects their unique characteristics…