Table of contents
Long‐Term Economic and Market Trends and Their Implications for Asset/Liability Management of Insurance Companies
CHRISTIAN GILLES, LARRY RUBIN, JOHN RYDING, LEO M. TILMAN, AJAY RAJADHYAKSHAAssumptions regarding long‐term expected returns have significant implications for asset/liability management of financial institutions. This article questions the validity of…
Exploring the Limitations of Value at Risk: How Good Is It in Practice?
ANDREAS KRAUSEThe benefits of value at risk (VaR) are its simplicity and broad applicability. However, the limitations of VaR are only just being openly discussed by researchers and…
The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
CHRIS BROOKS, GITA PERSANDIt is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value‐at‐risk (VaR) analysis relies on…
A Shortcut to Sign Incremental Value at Risk for Risk Allocation
DIRK TASCHE, LUISA TIBILETTIIncremental value at risk (IVaR) is becoming a standard tool to identify investment strategies that enhance risk‐adjusted returns. Recently, practice‐oriented research has focused…
The Effect of Model Risk on the Valuation of Barrier Options
ALI HIRSA, GEORGES COURTADON, DILIP B. MADANThe payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time. The…
The Impact of Valuation Uncertainty in the Pricing of Risky Debt
JORGE R. SOBEHART, SEAN C. KEENANIndustry interest in equity‐based contingent claims models for evaluating credit risky securities has recently surged. These methods assume away valuation uncertainty that exists…
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1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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- Nawazish Mirza