René Aïd EDF R&D Fred Espen Benth University of Oslo Valery Kholodnyi Verbund Trading Peter Laurence University of Rome, "La Sapienza" Almut Veraart Imperial College London This issue of The...
This paper quantifies and explains the valuation differences between credit default swaps (CDSs) and corporate bonds from a sample of European investment-grade firms. Based on all information gained through...
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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Derek W. Bunn London Business School Pricing electricity contracts is technically challenging, but it is a task of increasing importance as the sophistication of power trading develops. Power markets are becoming more and more financial in character,...
The predictability of the equity risk premium is a central and controversial issue in finance. The risk premium factor model is a recent and novel approach to forecasting the equity risk premium and the level and price earnings ratio of the equity market....
Welcome to the summer 2013 issue of The Journal of Investment Strategies. In this issue you will find four research papers that cover diverse topics: from long-range market modeling to short-term market making. In the first paper of the issue, "The...
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and Angus Graham show that by adapting the model to...
Qantas Airways’ head of risk believes the company could take more risks within its hedging programme
Standard & Poor's has launched four indexes to measure risk premiums, which have gained a lot of interest from product providers.
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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