Journal of Risk Finance: Volume 11 Issue 5

Diversification, hedging, and “pacification”

Michael R. Powers

The purpose of this paper is to explore the roles of diversification, hedging, and a third risk‐reduction process – “pacification” – in risk finance.

An intergenerational cross‐country swap

Miret Padovani, Paolo Vanini

The purpose of this paper is to address the issue of intergenerational and international sharing of longevity and growth risks. Current research on worldwide demographic changes…

Value‐at‐risk: Techniques to account for leptokurtosis and asymmetric behavior in returns distributions

Lindsay A. Lechner, Timothy C. Ovaert

The last few years in the financial markets have shown great instability and high volatility. In order to capture the amount of risk a financial firm takes on in a single trading…

A simple parallel algorithm for large‐scale portfolio problems

Kamal Smimou, Ruppa K. Thulasiram

Although the mean‐variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with…

Option pricing for jump diffussion model with random volatility

A. Thavaneswaran, Jagbir Singh

Option pricing based on Black‐Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a…

Average run lengths of control charts for monitoring observations from a Burr distribution

M.A.A. Cox

The majority of quality control charts are employed for normally distributed data. In reality this assumption is not always valid, as an alternative the Burr distribution is…

Estimation of a Cox process for credit spreads with semi‐stochastic intensity

Angelo Corelli

The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk.

A tale of Geely and Ford: in the pursuit of shareholders’ value

Check Teck Foo