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Content
March 2013, Volume 6, Issue 2
- 151-159 The globalisation of insurance: A supervisory response
by Kawai, Yoshihiro & Windsor, Peter
- 160-166 From optimisation to resilience: The changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies
by Bosworth, Ed & Rich, Tony
- 167-177 Risk management lessons learned from the financial crisis: One CRO's view
by Wilson, Thomas C.
- 178-180 Risk adjusting the culture of global finance
by Grody, Allan D.
- 181-184 The World Economic Forum: A multistakeholder platform for engaging the financial services industry and its role during the global economic crisis
by Koenitzer, Michael
- 185-187 Risk management in a low-yield environment: Consequences of the financial crisis
by Lehmann, Axel P. & Huber, Carin
- 188-205 A mixed approach to risk aggregation using hierarchical copulas
by Skoglund, Jimmy & Erdman, Donald & Chen, Wei
- 206-208 `Bull by the Horns` by Sheila Bair
by Grody, Allan
January 2013, Volume 6, Issue 1
- 4-5 Rogue trading: Back to front
by Faulds, Frances
- 6-9 Basel Committee’s fundamental review of the trading book: A commentary
by Grody, Allan D. & Fernandes, Kiran J. & Hughes, Peter J. & Steven Toms, J.
- 10-22 Why markets do not trust Basel II Internal Ratings-Based Approach: What can be done about it?
by Samuels, Simon
- 23-36 Lessons for the Irish Government on Basel II and accounting failures
by Flynn, Gerald & Butler, Cormac
- 37-53 Operational risk: A Basel II11 step before Basel III
by Guégan, Dominique & Hassani, Bertrand K.
- 54-66 Where is the ‘system’ in systemic risk literature?
by Brady, Shaun M. & Markeloff, Richard
- 67-74 Risk management infrastructure as a living organism
by Lindo, Steve
- 75-96 Modelling sovereign default risk: comparing models and capturing the impact of the business cycle
by N'Sougan, Yao Djifa & Soumaré, Issouf
- 97-108 Discounting long and uncertain workout recoveries for estimating loss given default
by Roy, Subarna
- 109-110 `Governance Reimagined` by David R. Koenig
by Grody, Allan
September 2012, Volume 5, Issue 4
- 356-358 FX: The clearing conundrum
by Maguire, Frances & Bessis, Joel
- 359-362 The BIS operational risk reviews: Let us not miss the chance of necessary change
by Millar, David
- 363-367 The influence of accounting standards on the performance of the insurance sector
by Vaughan, Therese M.
- 368-371 Quantitative easing: Implications for bond market volatility
by Editorial Board Member (Anonymous),
- 372-389 The effects and risks of quantitative easing
by Mortimer-Lee, Paul
- 390-397 Is the build-up of TARGET2 balances a question of self-contained risk?
by Ulbrich, Jens & Lipponer, Alexander
- 398-420 Evaluation of the Basel VaR-based market risk charge and proposals for a needed adjustment
by Fricke, Jens & Pauly, Ralf
- 421-431 Commercial real estate stress testing in community banks: The low stress kind
by Jones, Brian W.
- 432-446 Quality measures of scoring models
by Siarka, Paweł
June 2012, Volume 5, Issue 3
- 220-223 Guest Editorial
by Canabarro, Eduardo & Grody, Allan D. & Hammel, Eliza & Schuermann, Til
- 224-226 On counterparty risk
by Haldane, Andrew G.
- 227-233 Counterparty credit risk — news, views and open issues
by Böcker, Klaus & Stamm, Roland
- 234-251 General wrong-way risk and stress calibration of exposure
by Pykhtin, Michael
- 252-272 CVA the wrong way
by Rosen, Dan & Saunders, David
- 273-287 Quantification of central counterparty risk
by Arnsdorf, Matthias
- 288-304 Legal and regulatory update: Global identification standards for counterparties and other financial market participants
by Grody, Allan D. & Hughes, Peter J. & Reininger, Daniel
- 305-313 Data aggregation and counterparty identification — considerations for systemic risk analysis
by Krishna, Dilip
- 314-318 Fallacy of moving the OTC derivatives market to CCPs
by Singh, Manmohan
- 319-334 The systemic risks of OTC derivatives central clearing
by Murphy, David
- 335-346 OTC central counterparty clearing: Myths and reality
by Milne, Alistair
- 347-349 `The Devil’s Derivatives` by Nicholas Dunbar
by Grody, Allan
March 2012, Volume 5, Issue 2
- 108-111 The Governance of Risk
by Koenig, David R.
- 112-114 Risk and the shareholder
by Monks, Robert A. G.
- 115-127 ICGN corporate risk oversight guidelines: The role of the board and institutional shareholders
by Breen, Erik & Clearfield, Andrew & Klimczak, Karol M.
- 128-142 The governance of strategic risks in systemically important banks
by Mcconnell, Patrick
- 143-145 Our inability to judge time frames
by Lukomnik, Jon
- 146-161 Data quality in banking: Regulatory requirements and best practices
by Bonollo, Michele & Neri, Massimiliano
- 162-180 Transferring knowledge of risk management to the board of directors and executives
by Rodriguez, Eduardo & Edwards, John S.
- 181-193 The new model of governance and risk management for financial institutions
by Bugalla, John & Kallman, James & Lindo, Steve & Narvaez, Kristina
- 194-210 The governance of value(s)
by Koenig, David R.
- 211-212 `The Corporate Value of ERM — The Next Step in Business Management` by Sim Segal
by Rebonato, Riccardo
- 213-217 `The Unravelling of Structured Investment Vehicles: How Liquidity Leaked Through SIVs` by Henry Tabe
by Gustavo A., Torres
December 2011, Volume 5, Issue 1
- 5-9 Financial losses: An endless story
by Bessis, Joel & Maguire, Frances
- 10-35 Value optimisation in a regulatory constrained regime — A new look at risk vs return optimisation
by Miu, Peter & Ozdemir, Bogie & Giesinger, Michael
- 36-59 Modelling systemic liquidity risk with feedback effects in the UK banking sector
by Van Vuuren, Gary
- 60-75 A value-at-risk approach to commercial real estate portfolio stress testing at US community banks
by Hall, John & Kern, David & Yeager, Timothy & King, Tom & Lee, Kevin
- 76-85 The calculation of portfolio unexpected loss in credit and operational risk
by Samuels, Michael
- 86-95 Credit BuVaR: Asymmetric spread VaR with default
by Wong, Max
- 96-100 Report on Trading of OTC Derivatives of the Technical Committee of the International Organization of Securities Commissions
by Grody, Allan
September 2011, Volume 4, Issue 4
- 324-326 Blurring the lines
by Maguire, Frances & Bessis, Joel
- 327-333 Managing inflationary risk in a dollar-priced world — A key policy priority for G-20
by Editorial Board Member (Anonymous),
- 334-369 Risk-minimising investment strategies — Embedding portfolio optimisation into a dynamic insurance framework
by Theiler, Ursula
- 370-391 The computation of optimised credit transition matrices
by Long, Kete & Keenan, Sean C. & Neagu, Radu & Ellis, John A. & Black, Jason W.
- 392-412 The Crash-NIG copula model: Risk measurement and management of credit portfolios
by Schlösser, Anna & Zagst, Rudi
- 419-432 Market BuVaR: A countercyclical risk metric
by Wong, Max
June 2011, Volume 4, Issue 3
- 212-215 Guest Editorial
by Brigo, Damiano & D'Ecclesia, Rita L.
- 216-228 Causes of the economic crisis: Can the flap of a butterfly wing in Brazil destroy the Coliseum … after 30 years?
by Szegö, Giorgio
- 229-242 Monetary policy, financial stability and interest rate rules
by Di Giorgio, Giorgio & Rotondi, Zeno
- 243-253 Credit models and the crisis: An overview
by Brigo, Damiano & Pallavicini, Andrea & Torresetti, Roberto
- 254-274 Market impact measurement of a VWAP trading algorithm
by Fraenkle, Jan & Rachev, Svetlozar (Zari) & Scherrer, Christian
- 275-285 Modelling longevity risk in practice
by Schiller, Frank & Lepschi, Susanne
- 286-300 Distortion risk measures for hedge funds
by Geman, Hélyette & Kharoubi-Rakotomalala, Cécile
- 301-313 Integration of energy commodity markets in Europe and the USA
by Bencivenga, Cristina & Sargenti, Giulia & D'Ecclesia, Rita
- 314-316 `An Integrated Approach to AssetLiability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams` by Lionel Martellini and Vincent Milhau
by Rebonato, Riccardo
March 2011, Volume 4, Issue 2
- 108-111 Liquidity risk: A risk left to be tamed
by Bessis, Joel
- 112-116 Central counterparties — New uses for a century-old market mechanism
by Grody, Allan D.
- 117-145 A risk-adjusted pricing model for bank loans: Challenging issues from Basel II
by Curcio, Domenico & Gianfrancesco, Igor
- 146-161 Comparative analysis of multiple-guarantor agreements
by Soumaré, Issouf & Youbissi, Fabien & Gendron, Michel
- 162-179 Effectively hedging the interest rate risk of wide floating-rate coupon spreads
by Schröder, Thomas & Dunbar, Kwamie
- 189-200 How valuable is your VaR? Large sample confidence intervals for normal VaR
by Moraux, Franck
- 201-202 `Rethinking Risk Measurement and Reporting — Vols I and II Uncertainty, Bayesian Analysis and Expert Judgement — Vol. I Examples and Applications from Finance — Vol. II` Edited by Klaus Böcker
by Jajuga, Krzysztof
December 2010, Volume 4, Issue 1
- 4-5 Testing times
by Maguire, Frances & Bessis, Joel
- 6-7 Who should the Director of the Office of Financial Research be and why should we care?
by Grody, Allan D. & Mark, Robert M.
- 8-11 Liquidity risk premium in costing of equity capital
by Editorial Board Member,
- 12-17 Adopting risk intelligence in today's volatile market
by Whipple, Allen
- 18-22 Managing your career in risk post-credit crunch
by Harding, Katie
- 23-28 Avoiding the pitfalls of enterprise risk management
by Bates, Leigh
- 29-45 Information theoretic generator estimation with an application to ratings process migration
by Stokes, Jeffrey R.
- 57-73 Risk management and team-managed mutual funds
by Bär, Michaela & Ciccotello, Conrad S. & Ruenzi, Stefan
- 74-96 The impact of bank mergers on liquidity creation
by Pana, Elisabeta & Park, Jin & Query, Tim
- 97-100 `The Known, the Unknown, and the Unknowable in Financial Risk Management Edited` by Francis Diebold, Neil Doherty and Richard Herring
by Bobker, David
September 2010, Volume 3, Issue 4
- 312-317 Editorial
by Unknown
- 318-333 Prediction tools: Financial market regulation, politics and psychology
by Mousavi, Shabnam & Shefrin, Hersh
- 334-365 Validation of economic capital models: State of the practice, supervisory expectations and results from a bank study
by Jacobs, Jr, Michael
- 366-379 When swans are grey: VaR as an early warning signal
by Satchkov, Daniel
- 380-391 A simple method for time scaling value-at-risk: Let the data speak for themselves
by Hamidieh, Kamal & Ensor, Katherine Bennett
- 392-404 Combining non-constant weights with historical simulation VaR
by Rebonato, Riccardo & Shanbhogue, Vasant
- 405-406 `Financial Darwinism` by Leo Tilman
by Ong, Michael
June 2010, Volume 3, Issue 3
- 208-210 Editorial
by Bessis, Joel
- 211-230 Market crises, the financial system and the real economy: Analysis and implications for the global financial services industry
by Scardovi, Claudio & Gatti, Stefano & Ventola, Damiano
- 231-242 Using truncated Lévy flight to estimate downside risk
by Xiong, James X.
- 243-258 Diversification effects in operational risk: A robust approach
by Monti, Fabio & Brunner, Michael & Piacenza, Fabio & Bazzarello, Davide
- 259-277 Performance of monthly multivariate filtered historical simulation value-at-risk
by Chrétien, Stéphane & Coggins, Frank & Trudel, Yves
- 278-295 Banking regulation, behavioural finance and the financial crisis in Europe: Looking to the Kindleberger-Minsky paradigm
by Rannou, Yves
- 296-299 Why regulation is an opportunity to build a long-term profitable future
by Devern, Jim
- 300-303 Grey swans, black swans and risk management
by Raju, Sudhakar
- 304-305 `Operational Risk Assessment: The Commercial Imperative of a More Forensic and Transparent Approach` by Brendon Young and Rodney Coleman
by Grody, Allan
March 2010, Volume 3, Issue 2
- 114-115 All Clear?
by Maguire, Frances
- 116-123 Risk governance at large banks: Have any lessons been learned?
by Mongiardino, Alessandra & Plath, Christian
- 124-134 Regulatory arbitrage and model sophistication in the financial crisis
by Frachot, Antoine
- 135-147 On the use of covered bonds as an alternative mortgage funding model for US banks
by Biswas, Rita & Buzen, David A. & Shawky, Hany A.
- 148-155 Post-crisis financial risk management: Some suggestions
by Rebonato, Riccardo
- 156-173 Implied asset correlation in retail loan portfolios
by Botha, Marius & Vuuren, Gary Van
- 174-183 Portfolio management with semi-parametric bootstrapping
by Mendes, Beatriz Vaz De Melo & Leal, Ricardo Pereira Câmara
- 184-193 Managing the riskiness of defined contribution pension funds in a fair-valuation context
by Orlando, Albina & Politano, Massimiliano
- 194-197 `Global Financial Crisis: Navigating and Understanding the Legal and Regulatory Aspects Consulting;` Edited by Eugenio A. Bruno
by Gray, Joanna & Rebonato, Riccardo
January 2010, Volume 3, Issue 1
- 4-6 Responses to the financial crisis
by Bessis, Joel & Maguire, Frances
- 7-10 How has Solvency II been affected by the financial crisis and how will it affect risk management among insurers?
by Kean, Sue
- 11-15 Making the numbers talk: Too much reliance on quantitative measures and too little on qualitative risk analysis
by Jeffreys, Peter
- 16-30 Modelling correlations in credit portfolio risk
by Rosenow, Bernd & Weissbach, Rafael
- 31-45 The crash sonata in D major
by Szegö, Giorgio
- 46-56 Documentation risk in credit default swaps: When is a hedge not a hedge?
by Griffiths, Mark & Drake, Philip
- 57-64 Spanish savings institutions and the role of cuotas participativas in times of crisis
by Escribano, Francisco & Pardo, Isabel
- 65-83 A stochastic processes toolkit for risk management: Mean reverting processes and jumps
by Brigo, Damiano & Dalessandro, Antonio & Neugebauer, Matthias & Triki, Fares
- 84-104 Prime loss: A case study in operational risk
by Mcconnell, Patrick
- 105-106 Equity Derivatives: Documenting and Understanding Equity Derivative Products by Edmund Parker
by Jajuga, Krzysztof
September 2009, Volume 2, Issue 4
- 336-339 Ergodic failure: The key vulnerability in derivatives modelling
by Editorial Board Member,
- 340-342 Finance is directly related to the environment
by Gregory, Odette
- 343-352 Measuring the risk of institutional change in European financial markets
by Jiang, Wenjiang & Wu, Zhenyu
- 353-364 An alternative methodology for estimating credit quality transition matrices
by Gómez-González, José E. & Acevedo, Paola Morales & García, Fernando Pineda & Gómez, Nancy Zamudio
- 365-393 A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models
by Brigo, Damiano & Dalessandro, Antonio & Neugebauer, Matthias & Triki, Fares
- 394-408 From risk management to ERM
by Rochette, Michel
- 409-426 Managing structured bonds: An analysis using RAROC and EVA
by Cocozza, Rosa & Orlando, Albina
- 427-437 Applying knowledge management to enterprise risk management: Is there any value in using KM for ERM?
by Rodriguez, Eduardo & Edwards, John S.
- 438-450 Minimising operational risk in portfolio allocation decisions
by Fernandes, José Luiz Barros & Ornelas, José Renato Haas
- 451-453 `Restructuring and Workouts — Strategies for Maximizing Value Consulting;` Edited by Ben Larkin
by Breedon, Francis
June 2009, Volume 2, Issue 3
- 232-237 ERM: A strategic tool for hedging performance disruptions
by Samanta, Prodyot
- 238-242 Market turmoil from subprime to Jerome Kerviel: Are models letting the industry down?
by Matz, Leonard
- 243-249 Have we gone too VAR? The forsaken side of risk management
by Payant, W. Randall
- 250-258 Equity valuation: The effect of market share dynamics on the value of multiple product lines
by Stojanovic, Srdjan
- 259-264 The drawbacks of VaR's, or risk management's Byzantine discussion
by Angulo, Javier A.
- 265-283 Retail credit capital charge optimisation and the new Basel Accord
by Botha, Marius & Van Vuuren, Gary
- 284-300 Managing operational risk: Creating incentives for reporting and disclosing
by Hain, Sebastian
- 301-305 The need for greater focus on non-traditional risks: The case of Northern Rock
by Sampath, Vijaya
- 306-323 Financial risk and capital adequacy: The moral hazard problem
by Liu, Mei-Ying
- 324-325 `Commodity Derivatives: Markets and Applications` by Krzysztof Jajuga
by Jajuga, Krzysztof
- 326-327 `Risk Analysis: A Quantitative Guide, 3rd edition` by David Vose
by Jajuga, Krzysztof
March 2009, Volume 2, Issue 2
- 116-120 Black holes in risk governance
by Garnier, Miriam
- 121-129 Calibrating exposure at default for corporate credit lines
by Jimenéz, Gabriel & Lopez, Jose A. & Saurina, Jesús
- 130-140 Pension fund risk management: Multi-stakeholders, risk management and the embedded options approach
by Kocken, Theo
- 141-154 Is China's bond market really inefficient?
by Li, Desmond W. P.
- 155-164 Creating synergy by integrating enterprise risk management and governance
by Hinrichs, Jean
- 165-174 Capital allocation for operational risk
by Brunner, Michael & Piacenza, Fabio & Monti, Fabio & Bazzarello, Davide
- 175-192 Risk-neutral versus objective loss distribution and CDO tranche valuation
by Torresetti, Roberto & Brigo, Damiano & Pallavicini, Andrea
- 193-213 Credit derivatives: Banks' behaviour, financial stability and banking regulation
by Karras, Konstantinos N.
- 214-225 The implosion of the Alt-A mortgage-backed securities market
by Woodward, Luke & Raju, Sudhakar
October 2008, Volume 2, Issue 1
- 4-6 The financial crisis and operational risk management: Unfinished business
by Unknown
- 7-25 Chief risk officers at crunch time: Compliance champions or business partners?
by Mikes, Anette
- 26-35 Investors at a crossroads: Implications for risk management, trading and the real economy
by Rebonato, Riccardo
- 36-46 An arbitrage-based risk diagnostic of the cross-currency basis swap
by Wise, Richard
- 47-56 Financial services in crisis: Operational risk management to the rescue!
by Grody, Allan D. & Hughes, Peter J.
- 57-68 Reporting alignment in the new regulatory environment
by Joseph, Bryan & Barfield, Richard & Hansen, Frank Lyhne
- 69-87 Measuring the relationship between supervisory authorities and banks: An assessment of the German banking sector
by Paul, Stephan & Stein, Stefan & Uhde, Andre´
- 88-106 Abnormal return patterns and hedge fund failures
by Gupta, Bhaswar & Kazemi, Hossein
- 107-109 `Managing Risk in Extreme Environments` by Duncan Martin
by Bobker, David
September 2008, Volume 1, Issue 4
- 348-353 Editorial
by Koenig, David R.
- 354-359 What are we missing in risk management?
by Kloman, Felix
- 360-369 The science of governance: A blind spot of risk managers and corporate governance reform?
by Turnbull, Shann
- 370-381 People risk: Where are the boundaries?
by Mcconnell, Patrick
- 382-393 Towards better financial risk learning
by Waldvogel, Anna & Whelan, Niall
- 394-405 Payment and settlement systems: The case for mutualised risk mitigation within the Basel II framework
by Grody, Allan D.
- 406-415 Operational risk: Lessons from non-financial organisations
by Ashby, Simon
- 416-429 Measuring investor sentiment and behaviour to gauge financial risk
by Rannou, Yves
- 430-434 Risk management and UK defined benefit pension provision: A perspective from financial sociology
by Avrahampour, Yally
- 435-438 Blind spots in current risk management practices: Measurement error
by Bar-Or, Yuval D.
- 439-451 How risky is your risk information?
by Mark, Robert M. & Krishna, Dilip
- 452-457 Back-to-basics on the defensive: Now what for the risk profession?
by Celati, Luca
June 2008, Volume 1, Issue 3
- 236-239 Editorial
by Rebonato, Riccardo
- 240-245 Debunking the securitisation myth: Understanding why the 2007 credit crunch happened
by Wise, Richard
- 246-257 Active capital management: Optimising returns in a multiple stakeholder context
by Zerbs, Michael & Mausser, Helmut & Hansen, Martin
- 258-267 Future trends in the structured credit market
by Felsenheimer, Jochen & Gisdakis, Philip
- 268-276 Best practice and remaining challenges for credit economic capital
by Neale, Corinne
- 277-296 Determinants of bank loan syndication structures for emerging market borrowers
by Godlewskiy, Christophe J.
- 297-310 Safe banking to avoid moral hazard
by Acharya, Sankarshan
- 311-319 The value at risk of the mathematical provision: Critical issues
by Cocozza, Rosa & Di Lorenzo, Emilia & Orlando, Albina & Sibillo, Marilena
- 320-336 Lower-grade municipal bond price risk and sensitivity of price volatility to level of yields
by Lakshmivarahan, S. & Stock, Duane R.
- 337-341 EU legal commentary: Financial Services and Markets Tribunal considers risks of contravention of FSA Principle requiring skill, care and diligence in `Fox Hayes v Financial Services Authority`
by Gray, Joanna
March 2008, Volume 1, Issue 2
- 128-132 Making risk transparent
by Unknown
- 133-145 An empirical approach to Basel II
by Whalen, Christopher
- 146-155 Technical note: Application of non-cooperative game theory to market disequilibria
by Wise, Richard
- 156-164 Monitoring the operational risk environment effectively
by Breden, David
- 165-180 Using non-traditional data for underwriting loans to thin-file borrowers: Evidence, tips and precautions
by Turner, Michael A. & Agarwal, Amita
- 181-190 Measuring financial market liquidity
by Kerry, Will
- 191-222 Mutual fund risk-return profiles: A novel use of triangulation
by Silverman, Henry I.
- 223-226 EU legal commentary: UK Court of Appeal decision in Real Estate Opportunities Ltd v Aberdeen Asset Managers Jersey Ltd and others
by Gray, Joanna
- 227-228 `Credit Derivatives: Documenting and understanding credit derivative products` by Edmund Parker
by Wise, Richard
December 2007, Volume 1, Issue 1