This paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions with the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013.We...
This paper assesses the performance of twelve generalized autoregressive conditional heteroskedasticity (GARCH)-type models for modeling the 99% value-at-risk (VaR) for indexes from countries classified...
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Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
Philippe Jorion University of California at Irvine This extended issue of The Journal of Risk reflects the variety of topics covered in financial risk management. It contains four papers on market risk and one on credit risk. The first two papers...
Philippe Jorion This issue of The Journal of Risk further advances the state of knowledge in risk management, with one paper on credit risk and three papers on market risk. The first paper, “A Multivariate Markov Model for Simulating Correlated...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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Hong Kong, 1st - 31st Dec 2014
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