Journal of Risk Finance: Volume 18 Issue 1

The impact of time discretization on solvency measurement

Hato Schmeiser, Daliana Luca

The purpose of this paper is to study how the discretization interval affects the solvency measurement of a property-liability insurance company.

Risk management and managerial mindset

Ronald William Eastburn, Alex Sharland

This paper aims to determine why so many banks do not recognize in a timely manner the inherent risks and imbalances with their risk/reward decision trade-offs, to elevate the…

Municipal bond insurance: identifying the best payment plan

Andrew Kalotay, Leslie Abreo

The volume of municipal bond insurance declined dramatically following the financial crisis of 2008. Insurance now is making a gradual comeback. Two related considerations…

A longevity basis risk analysis in a joint FDM framework

Valeria D’Amato, Mariarosaria Coppola, Susanna Levantesi, Massimiliano Menzietti, Maria Russolillo

The improvements of longevity are intensifying the need for capital markets to be used to manage and transfer the risk through longevity-linked securities. Nevertheless, the…

Risk measures computation by Fourier inversion

Ngoc Quynh Anh Nguyen, Thi Ngoc Trang Nguyen

The purpose of this paper is to present the method for efficient computation of risk measures using Fourier transform technique. Another objective is to demonstrate that this…

Back-testing extreme value and Lévy value-at-risk models: Evidence from international futures markets

Sharif Mozumder, Michael Dempsey, M. Humayun Kabir

The purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance…