Table of contents
Rethinking risk and return: Part 1 – novel norms for non‐normality?
Michael R. PowersThe purpose of this paper (the first of two) is to consider measures of risk commonly used in the analysis of both investment and insurance portfolios, and argue that there is a…
Ten years' analysis of sovereign risk: noise‐rater risk, panels, and errors
Pedro Erik CarneiroThe purpose of this paper is to examine the informative power of rating agencies in the process of establishing sovereign risk, over a ten‐year period (1997‐2006).
On the accuracy of loss‐given‐default prediction intervals
J. Samuel Baixauli, Susana AlvarezThe purpose of this paper is to critically analyze the common assumption, made by many credit risk models such as the Moody's KMV Loss‐Calc model, of a β distribution for the…
Prediction of variability in mortgage rates: interval computing solutions
Ling T. He, Chenyi Hu, K. Michael CaseyThe purpose of this paper is to forecast variability in mortgage rates by using interval measured data and interval computing method.
Corporate risk management and investment decisions
Xun Li, Zhenyu WuCorporate risk management is one of the critical concerns of managers when they make investment allocation decisions among multiple projects. The purpose of this paper is to…
Delta hedging a multi‐fixed‐income‐securities portfolio under gamma and vega constraints
Carlos E. Ortiz, Charles A. Stone, Anne ZissuThe purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to…
Multiscale Fama‐French model: application to the French market
Anyssa Trimech, Hedi Kortas, Salwa Benammou, Samir BenammouThe purpose of this paper is to discuss a multiscale pricing model for the French stock market by combining wavelet analysis and Fama‐French three‐factor model. The objective is…
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza