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...
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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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...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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