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Welcome to www.thejournalofrisk.com
Welcome to the 10th anniversary volume of The Journal of Risk. This Winter issue is the second volume that continues to celebrate 10 years of high quality publishing of the Journal as a leader in risk management and measurement knowledge. Risk Journals would like to thank everyone involved who has helped to make the Journal a continuing success.
Letter from the Editor-In-Chief
The American subprime crisis and the large single-trader-generated loss at Société Générale have dominated the financial news in early 2008. Overall, both issues have been clearly cast in risk management terms. However, it is still unclear whether they point to exclusive limitations of mathematical models, available riskmitigation instruments or failures of operational procedures. Certainly, though, these crises have highlighted an even greater need for solutions and enforcement of risk management in all its different aspects.
Latest Issue
Volume 10 / Number 3
Instantaneous caps and floors on the short-rate
Snorre Lindset
On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares
Pui-lam Leung and Wing-Keung Wong
Value-at-risk and extreme value distributions for financial returns
Konstantinos Tolikas
Evaluating value-at-risk measures in presence of long memory conditional volatility
Massimiliano Caporin
Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance
Csaba I. Fábián and Anna Veszprémi
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