Journal of Risk Finance: Volume 2 Issue 2

Cumulative Losses, Capital Reserves, and Loss Limits

Hubert Shen

This article addresses the issue of cumulative losses that fund managers, reinsurers, and bankers all face. The author shows how to estimate expected multi‐period (cumulative…

The Emerging Role of Patent Law in Risk Finance

J.B. Heaton

Until recently, financial intermediaries have behaved as though immune from the bite of intellectual property law. However, recent decisions of the federal courts and acquiescence…

Using Cat Models for Optimal Risk Allocation of P&C Liability Portfolios

Lixin Zeng

This article provides a general introduction to using catastrophe models to optimally manage the risk of a portfolio of Property & Casualty (P&C) liabilities. There is increasing…

Applying Scenario Optimization to Portfolio Credit Risk

Helmut Mausser, Dan Rosen

Standard market risk optimization tools, based on assumptions of normality, are ineffective for evaluating credit risk. In this article, the authors develop three scenario…

Calculating VaR Through Quadratic Approximations: Improving the Computational Efficiency of Complex Portfolio Risks

Jorge Mina

VaR calculations often require the valuation of complex payoffs over a large set of scenarios. Since pricing complex derivatives is computationally expensive, there is a direct…

Risk Management Revolution: The Morning After

Leo M. Tilman

Today, most institutional investors, practitioners, and regulators seem relatively content with the current state of the art. Although most academics and practitioners fully…

Fundamentals of Financial Markets I: A Primer

In response to reader demand, this is the first of three installments introducing fundamental concepts to those convergence market participants who are less familiar with…