Journal of Risk Finance: Volume 3 Issue 4

Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation

ROBERT G. TOMPKINS

The depth and breadth of the market for contingent claims, including exotic options, has expanded dramatically. Regulators have expressed concern regarding the risks of exotics to…

Assessing the Pre‐Commitment Approach to Bank Capital Regulation

KEVIN DOWD

The pre‐commitment approach to bank capital regulation proposes that banks self‐select capital reserve requirements, facing penalties ex post for incurring losses in excess of…

Dimension Reduction in the Computation of Value‐at‐Risk

CLAUDIO ALBANESE, KEN JACKSON, PETTER WIBERG

Regulators require banks to employ value‐at‐risk (VaR) to estimate the exposure of their trading portfolios to market risk, in order to establish capital requirements. However…

Insuring California Earthquakes and the Role for Catastrophe Bonds

JOSE S. PENALVA ZUASTI

This article examines the economic impact of a major California earthquake, by focusing on the catastrophic damage to residential real estate. It asserts that the damage, although…

Loss Ratio on Insurance Equity Securities: A New Step in Insurance Securitization

SYLVIE BOURIAUX, DAVID T. RUSSELL

The recent trend of integrated risk management has resulted in corporations reassessing their risk management practices. Insurance derivatives and insurance‐linked securities are…

Have Financial Markets Learned from Past Crises? (Part II)

LEO M. TILMAN, AJAY RAJADHYAKSHA

This second installment of commentary regarding recent financial crises discusses market dislocations over the past year (the first installment focused on market conditions…