Editor: Philippe Jorion
Published: 01 Apr 2001
Papers in this issue
by Jose A. Lopez, Christian A. Walter
by Dariush Mirfendereski, Riccardo Rebonato
by Jean-Luc Prigent, Olivier Renault, Olivier Scaillet
by Vijay Pant and Weita Chang
by R. B. Carroll, T. Perry, H. Yang, A. Ho
Welcome to Volume 3 Issue 3 of The Journal of Risk. This issue is made up of 5 technical papers: ‘Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach' by Dariush Mirfenderski from Barclays Capital and Riccardo Rebonato from QUARC; ‘An empirical investigation into credit spread indices' by Jean-Luc Prigent from Universite de Cergy-Pontoise, Olivier Renault from the London School of Economics and P;ivier Scaillet from the IRES; ‘A new approach to component VaR' by R. B. Carroll, T. Perry, H. Yang and A. Ho from the Royal Bank of Canada; ‘Evaluating covariance matrix forecasts in a value-at-risk framework' by Jose A. Lopez from the Federak Reserve Bank of San Francisco and Christian A. Walter from Credit Suisse Group; and ‘An empirical comparison of methods for incorporating fat tails into value-at-risk models' by Vijay Pant and Weita Chang from PricewaterhouseCoopers.
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