Table of contents
Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena
SERGIO M. FOCARDI, FRANK J. FABOZZIFat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in…
Pricing Vulnerable Options With Copulas
UMBERTO CHERUBINI, ELISA LUCIANOCounterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the…
A Quantile‐Fitting Approach to Value at Risk for Options
DOOWOO NAM, BENTON E. GUPThe curvilinear shape of a bond price‐yield curve implies that risk management based on a linear approximation using duration is only viable for very small changes in interest…
Discontinuous Hedging Strategies for Multi‐period Guarantees in Life Insurance
SNORRE LINDSETIn the past, life insurance companies were mainly exposed to mortality risk, a risk they in principle could diversify by issuing a large number of similar and statistically…
Impact of Risk Management on the Recent Market Volatility in the U.S. and Japan
LEO M. TILMAN, RAYMOND WONG, MISAHIRO YAMAGUCHIWhile interpreting violent market movements can potentially be illuminating, many experienced finance practitioners shy away from this exercise, having recognized the difficulty…
Review of Trends in Insurance Securitization April 2002 to March 2003
MORTON N. LANE, ROGER G. BECKWITHThe year 2002 was a record for insurance securitization. It's official. According to Marsh and McLennan $1.22 billion bonds were issued in 2002 versus $1.136 billion in 2000. Our…
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
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Balance SheetEditor:
- Nawazish Mirza