Volume 4 (2010-11)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published in Volume 4 were:

Volume 4 Number 4

• Market BuVaR: A countercyclical risk metric
  Max Wong, Head of VaR Model Testing, RBS Global Banking & Markets
• The Crash-NIG copula model: Risk measurement and management of credit portfolios
  Anna Schlösser, VP, risklab, a company of Allianz Global Investors and Rudi Zagst, Head of the Institute for Mathematical Finance, Technische Universitaet Muenchen
• The computation of optimised credit transition matrices
  Kete Long, Director of Model Governance and Validation, Sean C. Keenan, Risk Analytics and Reporting Leader, GE Capital, Radu Neagu, Senior Statistician, Applied Statistics Laboratory, John A. Ellis, Financial Researcher, Risk and Value Management Technology Laboratory and Jason Black, Systems Engineer, Software Sciences and Analytics, GE Global Research Center
• Managing inflationary risk in a dollar-priced world: A key policy priority for G-20
  Editorial Board Member (author wishes to remain anonymous)
• Risk-minimising investment strategies: Embedding portfolio optimisation into a dynamic insurance framework
  Ursula Theiler, Ursula Theiler, President, Risk Training

Volume 4 Number 3

• Modelling longevity risk in practice
  Frank Schiller, Head and Susanne Lepschi, Senior Consultant, Mathematics, Centre of Competence Direct Insurance, Munich Re
• Monetary policy, financial stability and interest rate rules
  Giorgio Di Giorgio, Professor of Monetary Economics and Director, Arcelli Center for Monetary and Financial Studies, University LUISS Guido Carli and Zeno Rotondi, Head of Territorial Research and Strategies for Italy, UniCredit Banking Group
• Credit models and the crisis: An overview
  Damiano Brigo, Gilbart Professor of Financial Mathematics, King’s College, London, Andrea Pallavicini, Head of Financial Models, Mediobanca and Roberto Torresetti, Portfolio Manager, Quaestio Capital
• Integration of energy commodity markets in Europe and the USA
  Giulia Sargenti, Quantitative Analyst, CONSOB, Cristina Bencivenga and Rita D'Ecclesia, Professor, ‘Sapienza’ University of Rome
• Market impact measurement of a VWAP trading algorithm
  Svetlozar Rachev, Chair-Professor in Statistics, Econometrics and Mathematical Finance, Karlsruhe Institute of Technology, Jan Fraenkle, Christian Scherrer, Quantitative Analyst, Phi-T
• Distortion risk measures for hedge funds
  Hélyette Geman, Professor of Finance, Birkbeck, University of London and Cécile Kharoubi-Rakotomalala, Professor of Finance, ESCP Europe
• Causes of the economic crisis: Can the flap of a butterfly wing in Brazil destroy the Coliseum … after 30 years?
  Giorgio Szegö, Professor Emeritus of Financial Economics, University of Rome

Volume 4 Number 2

• Central counterparties: New uses for a century-old market mechanism
  Allan D. Grody, Founder and President, Financial InterGroup Holdings
• Effectively hedging the interest rate risk of wide floating-rate coupon spreads
  Thomas Schröder, Deputy Head of Division, Capital Markets Department, European Investment Bank and Kwamie Dunbar, former Director of Credit Risk Analytics, MasterCard Worldwide
• Comparative analysis of multiple-guarantor agreements
  Fabien Youbissi, VP, Structured Finance Risk Management, BMO Financial Group, Issouf Soumaré, Managing Director, Laboratory for Financial Engineering and Michel Gendron, Head, Department of Finance, Insurance and Real Estate, Laval University
• A risk-adjusted pricing model for bank loans: Challenging issues from Basel II
  Domenico Curcio, Chair, Banks and Financial Markets and Risk Management, University LUISS Guido Carli and Igor Gianfrancesco, Credit Department, Banca Popolare di Spoleto
• How valuable is your VaR? Large sample confidence intervals for normal VaR
  Franck Moraux, Professor of Finance, University of Rennes 1 Graduate School of Management

Volume 4 Number 1

• Risk management and team-managed mutual funds
  Michaela Bar, Department for Banking Supervision, Deutsche Bundesbank, Conrad S. Ciccotello, Department of Risk Management and Insurance, Georgia State University and Research Fellow, TIAA-CREF Institute and Stefan Ruenzi, Professor of Finance, University of Mannheim
• Avoiding the pitfalls of enterprise risk management
  Leigh Bates, Head of Financial Services, SAS
• Adopting risk intelligence in today’s volatile market
  Alan Whipple, Managing Director, Quartet FS
• The impact of bank mergers on liquidity creation
  Elisabeta Pana, Assistant Professor of Finance, Illinois Wesleyan University, Jin Park, Assistant Professor of Insurance and Risk Management, Indiana State University and Tim Query, Associate Professor, New Mexico State University
• The gentle proposal: A model of applied default probabilities and GARCH volatility
  Angelo Corelli, Assistant Professor in Finance, Linkoping University
• Managing your career in risk post-credit crunch
  Principal Consultant, Banking Risk, Astbury Marsden
• Liquidity risk premium in costing of equity capital
  Editorial Board member (author wishes to remain anonymous)
• Information theoretic generator estimation with an application to ratings process migration
  Jeffrey R. Stokes, Associate Professor of Finance, University of Northern Iowa