Editor: Barry Schachter
Published: 21 Jun 2005
Papers in this issue
by Andrea Beltratti, Claudio Morana
by Ross A. Maller, Robert B. Durand, Peter T. Lee
by Thomas Mählmann
by Hans-Peter Burghof, Tanja Sinha
by Jean-Paul Laurent, Jon Gregory
Welcome to Volume 7 Issue 4 of The Journal of Risk. This issue is made up of 5 technical papers: 'Basket default swaps, CDOs and factor copulas' by Jean-Paul Laurent from The University of Claude Bernard of Lyon, and Jon Gregory from BNP Paribas; 'Statistical benefits of value-at-risk with long memory' by Andrea Beltratti from Bocconi University, and Claudio Morana from the University of Piemonte; 'Capital allocation with value-at-risk - the case of informed traders and herding' by Hans-Peter Burghof from the University of Hohenheim, and Tanja Sinha from KG Allgemeine Leasing; 'Biases in estimating bank loan default probabilities' by Thomas Mahlmann from the University of Cologne; and 'Bias and consistency of the maximum Sharpe ratio' by Ross A. Maller from the Australian National University, and Robert B. Durand and Peter T. Lee from the University of Western Australia.
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@example.com for more information.
Updating your subscription status
Risk iPad and iPhone Apps