Editor: Philippe Jorion
Published: 01 Oct 2000
Papers in this issue
by Andrey Feuerverger, Augustine C. M. Wong
by Robert A. Jarrow, Dilip B. Madan
by Marc Henrard
by Yonggan Zhao, William T. Ziemba
by Masaaki Kijima, Yukio Muromachi
by Philip Linsley and Philip Shrives
Welcome to Volume 3 Issue 1 of The Journal of Risk. This issue is made up of 6 technical papers: ‘Evaluation of credit risk of a portfolio with stochastic interest rate and default processes' by Masaaki Kijima from the Tokyo Metropolitan University and Yukio Muromachi from the NLI Research Institute; ‘Computation of value-at-risk for nonlinear portfolios' by Andrey Feuerverger from the University of Toronto and Augustine C. M. Wong from York University; ‘Comparison of cashflow maps for value-at-risk' by Marc Henrard from the Bank for International Settlements; ‘Arbitrage, martingales, and private monetary value' by Robert A. Jarrow from Cornell University and Dilip Madan from the University of Maryland; ‘A dynamic asset allocation model with downside risk control' by Yonggan Zhao from the Nanyang Technological University and William T. Ziemba from the University of British Columbia; and ‘Risk management and reporting risk in the UK' by Philip Linsleu and Philip Shrives from the University of Northumbria.
Search the archive
Subscribe to gain access to The Journal of Risk and its valuable archive.
Call for papers
Submit your work and we can offer you:
Please contact [email protected] for more information.