Editor: Philippe Jorion
Published: 01 Apr 2001
Papers in this issue
by Vijay Pant and Weita Chang
by Dariush Mirfendereski, Riccardo Rebonato
by Jean-Luc Prigent, Olivier Renault, Olivier Scaillet
by Jose A. Lopez, Christian A. Walter
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.
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.