Journals

• Original research

Modeling insurance mitigation on operational risk capital

• 07 Apr 2006

• Original research

A data-driven optimization heuristic for downside risk minimization

• 31 Mar 2006

• Original research

Using contingent-claims analysis to value opportunities lost due to moral hazard risk

• 31 Mar 2006

• Original research

A simple probabilistic approach to the pricing of credit default swap covenants

• 31 Mar 2006

• Original research

The use of multiple risk management strategies: evidence from the natural gas industry

• 31 Mar 2006

• Original research

Risk estimation using the multivariate normal inverse Gaussian distribution

• 12 Jan 2006

• Original research

Tail approximation for credit risk portfolios with heavy-tailed risk factors

• 12 Jan 2006

• Original research

Improved duration-based backtesting of value-at-risk

• 12 Jan 2006

• Original research

Backtesting within the trading book

• 12 Jan 2006

• Original research

Testing hedge effectiveness for option positions

• 12 Jan 2006

• Original research

Measuring marginal risk contributions in credit portfolios

• 12 Jan 2006

• Original research

Generalizing the Black–Scholes formula to multivariate contingent claims

• 12 Jan 2006

• Original research

The relative efficiency of numerical methods for pricing American options under Lévy processes

• 12 Jan 2006

• Original research

Exact pricing formulae for caps and swaptions in a Lévy term structure model

• 12 Jan 2006

• Forum

An evaluation of the base correlation framework for synthetic CDOs

• 20 Dec 2005

• Forum

Problems & Solutions: Financially Motivated Model Performance Measures

There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…

• 20 Dec 2005

• Original research

Credit portfolio risk and probability of default confidence sets through the business cycle

• 20 Dec 2005

• Forum

Linear and non-linear credit scoring by combining logistic regression and support vector machines

• 20 Dec 2005

• Original research

Capital structure arbitrage and market timing under uncertainty and trading noise

• 20 Dec 2005

• Original research

The pricing implications of counterparty risk for non-linear credit products

• 20 Dec 2005

• Original research

Practical and theoretical challenges in validating Basel parameters: key learnings from the experience of a Canadian bank

• 20 Dec 2005

• Original research

On the aggregation of local risk models for global risk management

• 04 Oct 2005

• Original research

Currency dependence of corporate credit spreads

• 04 Oct 2005

• Original research

The quantification of operational risk

• 04 Oct 2005