Editor: Philippe Jorion
Published: 01 Sep 1998
Papers in this issue
by John Hull and Alan White
by Ronald Huisman and Rachel A. J. Pownall, Kees G. Koedijk
by Marcelo Cruz, Rodney Coleman, and Gerry Salkin
by Robert R. Bliss, David C. Smith
by Andrew Chou and Galin Georgiev
Welcome to Volume 1 Issue 1 of The Journal of Risk. This issue is made up of 5 technical papers: ‘Incorporating volatility updating into the historical simulation method for value-at-risk' by John Hull and Alan White from the University of Toronto; ‘The elasticity of interest rate volatility: Chan, Karolyi, Longsta, and Sanders revisited' by Robert R. Bliss from the Bank of England and David C. Smith from the University of Florida; ‘VaR-x: Fat tails in financial risk management' by Ronald Huisman from Erasmus University, and Rachel A. J. Pownall and Kees G. Koedijk from the University of Maastricht; ‘Modeling and measuring operational risk' by Marcelo Cruz, Rodney Coleman and Gerry Salkin from Imperial College; and ‘A uniform approach to static replication' by Andrew Chou and Galin Georgiev from JP Morgan.
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