Innovations in Risk Management

Seminal Papers from The Journal of Risk

Publication Date	September 2004
Publisher	Risk Books
Product Type	Book
Pages	648
ISBN Number	190433928X
Product Code	RIS00324

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Summary

Features 21 seminal papers split into the following six sections:
- Market Risk - VAR for Individual Assets
- Market Risk - VAR for Portfolios
- Market Risk - Stress Tests
- Liquidity Risk
- Credit Risk
- Risk Capital
Each paper has been carefully selected to reflect the most significant recent developments in financial risk management to give you a cohesive view and deeper understanding of the entire field
Provides a compact yet complete reference collection of all the latest and most significant empirical and theoretical research you need to further develop your understanding of financial risk management

About The Journal of Risk

The Journal of Risk provides a dedicated medium for the dissemination of both academic and practitioner research into financial risk management. Each quarterly issue features a broad range of theoretical and empirical studies from the leading academics and practitioners in the field, with major research topics covering the measurement and management of market risk, credit risk and operational risk. All published work is peer-reviewed by world-class academic scholars and industry experts, ensuring the highest level of quality and standards.

Content

Introduction
Philippe Jorion
Section 1: Market Risk: VAR for Individual Assets
- 1 VAR Risk Measures vs Traditional Risk Measures: An Analysis and Survey
  - Guy Kaplanski and Yoram Kroll
- 2 Incorporating Volatility Updating into the Historical Simulation Method for Value-at Risk
  - John Hull and Alan White
- 3 Risk Estimation Using the Normal Inverse Gaussian Distribution
  - Johannes H Venter and Pieter L. de Jongh
- 4 Regulatory Evaluation of Value-at-Risk Models
  - Jose A. Lopez
- 5 Fallacies about the Effects of Market Risk Management Systems
  - Philippe Jorion
Section 2: Market Risk: VAR for Portfolios
- 6 Improving Grid-Based Methods for Estimating Value-at-Risk of Fixed-Income Portfolios
  - Michael S. Gibson and Matthew Pritsker
- 7 Optimization of Conditional Value-at-Risk
  - R. Tyrrell Rockafeller and Stanislav Uryasev
- 8 Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be?
  - Xiongwei Ju and Neil D. Pearson
- 9 Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework
  - Jose A. Lopez and Christian A. Walter
- 10 Decomposing Portfolio Value-at-Risk: A General Analysis
  - Winfried J. Hallerbach
Section 3: Market Risk: Stress Tests
- 11 A Coherent Framework for Stress Testing
  - Jeremy Berkowitz
- 12 A stress Test to Incorporate Correlation Breakdown
  - Jongwoo Kim and Christopher C. Finger
- 13 A Methodology for Creating a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
  - Riccardo Rebonato and Peter Jckel
- 14 Forecasting Portfolio Risk in Normal and Stressed Markets
  - Vineer Bhansali and Mark B. Wise
Section 4: Liquidity Risk
- 15 Optimal Execution of Portfolio Transactions
  - Robert Almgren and Neil Chriss
Section 5: Credit Risk
- 16 Evaluation of Credit Risk of a Portfolio with Stochastic Interest Rate and Default Processes
  - Masaaki Kijima and Yukio Muromachi
- 17 Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
  - Tibor Janosi, Robert Jarrow, and Yildiray Yildirim
- 18 Pricing Corporate Bonds with Dynamic Default Barriers
  - Cho-Hoi Hui, Chi-Fai Lo, and Shun-Wai Tsang
- 19 Incorporating Severity Variations into Credit Risk
  - Peter Buergisser, Alexandre Kurth and Armin Wagner
- 20 Evaluating Credit Risk Models Using Loss Density Forecasts
  - Hergen Frerichs and Gunter Lffler
Section 6: Risk Capital
- 21 Measuring Risk-Adjusted Performance
  - Michel Crouhy, Stuart Turnbull, and Lee Wakeman
Index