The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
Counterparty credit risk (CCR), a key driver of the 2007-8 credit crisis, has become one of the main focuses of major global and US regulatory standards. Financial institutions invest large amounts of...
This study examines the effect of retail payment innovations on the use of cash at the point of sale.
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Risk management articles
Regulatory changes are increasing the importance of collateral agreements and credit issues in over-the-counter derivatives transactions. This paper considers the nature of derivatives collateral agreements...
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
Volume 3, Issue 1, 2014
Welcome to the fourth issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers that cover a diverse set of topics: behavioral finance, portfolio opt...
volume 7, issue 3, 2014
Female representation on boards linked to improved business performance
Isda chair's comments at odds with industry calls for bigger CCP capital cushions
Cash supply and communications key for earthquake recovery
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.