Journal of Risk Finance: Volume 6 Issue 3

Pricing issues in aviation insurance and reinsurance

This article aims to examine the risk inherent in the insurance of the aviation industry, to take an outsider's look at those risks and to develop certain “capital market” pricing…

An autoregressive conditional duration model of credit‐risk contagion

This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios.

Modeling risk for long and short trading positions

Aims to investigate the accuracy of parametric, nonparametric, and semiparametric methods in predicting the one‐day‐ahead value‐at‐risk (VaR) measure in three types of markets…

Insurance market equilibrium: a multi‐period dynamic solution

This article aims to apply a multi‐period model of insurance market equilibrium to solve for the insureds' optimal demand for insurance, as well as insurers' optimal supply.

Preferences analysis, transactions, and volatility

The reasons for writing the paper are flexibility of information under multi‐agent approach.

Towards multi‐factor models of decision making and risk: A critique of prospect theory and related approaches, Part III

The purposes of this article are to evaluate models of stock market risk developed by Robert Engle, and related models (ARCH, GARCH, VAR, etc.); to establish whether prospect…

The new regulatory challenge

The campaign for plain math starts here

Competitive compliance: manage and automate, or die

Mortality: the alpha and the omega of risk