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Volume 1 / Number 4, Summer 1999
• Predicting financial crashes using discrete scale variance
by A. Johansen, D. Sornette, and O. Ledoit 
• Market risk computation for nonlinear portfolios
by G. Studer
• Identification of investor's risk aversion in portfolio optimization
by A. V. Gretchikha
• Fast computation of efficient portfolios
by A. M. Duarte, Jr.
Volume 1 / Number 3, Spring 1999
• Derivatives and risk: the case of thrifts
by A. M. B. Hogan and D. M. Malmquist
• Measuring risk with the Bodie put when stocks exhibit mean reversion
by S. P. Feinstein
• Interest rate model risk: an overview
by R. Gibson, F.-S. Lhabitant, N. Pistre, and D. Talay
• First Derivatives National Bank: a case problem in the management of interest rate risk
by R. J. Rendleman, Jr.
Volume 1 / Number 2, Winter 1998/1999
• Using value-at-risk to control risk taking: how wrong can you be?
by X. Ju and N. D. Pearson
• Regulatory evaluation of value-at-risk models
by J. Lopez
• Value-at-risk using the factor-ARCH model
by C. Christiansen
• Value-at-risk analysis of a leveraged swap
by S. Srivastava
Volume 1 / Number 1, Fall 1998
• Incorporating volatility updating into the historical simulation method for VaR
by J. Hull and A. White
• The elasticity of interest rate volatility - Chan, Karolyi, Longstaff and Sanders revisited
by R. Bliss and D. Smith
• VaR-x: fat tails in financial risk management
by K. Koedijk, R. Huisman, and Rachel Pownall
• Modeling and measuring operational risk
by M. Cruz, R. Coleman, and G. Salkin
• A uniform approach to static replication
by A. Chou and G. Georgiev |
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