Journal of Risk Finance: Volume 9 Issue 3

Lanchester resurgent? The mathematics of terrorism risk

Michael R. Powers

The purpose of this editorial is to consider whether or not the classical “Lanchester equations” of military combat are useful for modeling the financial risks associated with…

Catastrophe effects on stock markets and catastrophe risk securitization

Charles C. Yang, Mulong Wang, Xiaoying Chen

Conventional wisdom states that catastrophe risk securities show no or little correlation with stock and bond markets, and offer significant attractions to investors providing a…

A general defender‐attacker risk model for networks

W.I. Al Mannai, T.G. Lewis

The purpose of this paper is to present a competitive defender‐attacker risk model that assumes a dual exponential relationship between defender (C_i) and attacker (A_i) resource…

An accurate formula for bond‐portfolio stress testing

Leonard Tchuindjo

The purpose of this paper is to derive an easy‐to‐implement and highly accurate formula to approximate the change in the bond price resulting from a change in interest rates.

Immunization without duration for on‐line learning

Eva C. Yen

The purpose of this paper is to show that the duration‐based hedge ratio has many serious defects: first, the yield‐to‐maturity is not the market interest rate, and it cannot even…

Wald's maximin model: a treasure in disguise!

Moshe Sniedovich

The purpose of this paper is to illustrate the expressive power of Wald's maximin model and the mathematical modeling effort requisite in its application in decision under severe…

Conceptual lessons on financial strategy following the US sub‐prime crisis

Check‐Teck Foo

On September 18, 2007, the Federal Reserve Open Market Committee took a major step by cutting the federal funds rate by one‐half a percent (50 basis points). The only time this…

The pond for markets: social and local

Michael Mainelli

This paper aims to offer a commentary on new stock exchanges in the financial markets.