Special issue: Measuring and managing financial risk

International Journal of Risk Assessment and Management 11(1/2) 2009

• Predicting business failure: an application of multicriteria decision aid techniques in the case of small UK manufacturing firms
• Determinants of non-performing loans and banking costs during the 1999-2001 Turkish banking crisis
• Optimal Bayesian portfolios of hedge funds
• Mean reversion in the US treasury constant maturity rates
• Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions
• Option pricing in a hidden Markov model of the short rate with application to risky debt evaluation
• An HJB approach to exponential utility maximisation for jump processes
• A conditional value-at-risk model for insurance products with a guarantee
• Default forecasting for small-medium enterprises: does heterogeneity matter?
• Discrete-time affine term structure models: an ARCH formulation
• Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market