23 December 2008

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

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