Journal of Risk Finance: Volume 7 Issue 4

Pure vs speculative risk: False choice; sham marriage

Michael R. Powers

The purpose of this editorial is to study the relationship between the pure risks of insurance and the speculative risks of other financial markets in the context of financial…

Credit‐default swap rates and equity volatility: a nonlinear relationship

Fathi Abid, Nader Naifar

The aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market.

Pricing credit risk through equity options calibration: Part 1 – theory

Marco Fabio Delzio

To propose a new methodology to infer the risk‐neutral default probability curve of a generic firm XYZ from equity options prices.

Pricing credit risk through equity options calibration: Part 2 – model implementation

Marco Fabio Delzio

To implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of a set of…

When does cross‐border acquisition of insurance firms lead to value creation?

B. Elango

The purpose of this paper is to focus on international acquisitions that took place in the insurance sector by US‐based firms in the years 1997‐2003 and their impact on…

Comparative statics and optimal portfolios

Jean Fernand Nguema

Following Hadar and Seo, the paper aims to determine, in the case of a portfolio with three assets, the condition of preservation of comparative statics results under which a…

Option pricing for some stochastic volatility models

A. Thavaneswaran, J. Singh, S.S. Appadoo

To study stochastic volatility in the pricing of options.

Prizes for pioneers? How MiFID could reshape European capital markets and institutions

Chris Gentle, John Neasham

Put your money where your audit is: financial statement insurance in the UK?

Michael Mainelli, Joshua Ronen