Volume 3 (2009-10)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published in Volume 3 were:

Volume 3 Number 4

• Validation of economic capital models: State of the practice, supervisory expectations and results from a bank study
  Michael Jacobs, Senior Financial Economist, Credit Risk Analysis Division, Department of International and Economic Affairs, US Office of the Comptroller of the Currency
• Combining non-constant weights with historical simulation VaR
  Riccardo Rebonato, Head of Front-Office Market Risk Management and Quantitative Analytics, RBS Global Banking and Markets and Vasant Shanbhogue, Head of Quantitative Analysis for Gas and Power, RBS Sempra Commodities
• Prediction tools: Financial market regulation, politics and psychology
  Shabnam Mousavi, Visiting Assistant Professor, Finance Department, Robinson College of Business, Georgia State University and Hersh Shefrin, Mario L. Belotti Chair in Finance, Santa Clara University
• When swans are grey: VaR as an early warning signal
  Daniel Satchkov, President, RiXtrema
• A simple method for time scaling value-at-risk: Let the data speak for themselves
  Kamal Hamidieh, Post-Doctoral Instructor and Katherine Bennett Ensor, Founding Director, Center of Computational Finance and Economic Systems, Rice University

Volume 3 Number 3

• Diversification effects in operational risk: A robust approach
  Fabio Monti, Senior Quantitative Analyst, Group Operational Risk Management, Michael Brunner, Operational Risk and Risk Integration Applications, Fabio Piacenza, Senior Quantitative Analyst and Group Head of Operational Risk and Reputational Risk, UniCredit Group
• Market crises, the financial system and the real economy: Analysis and implications for the global financial services industry
  Stefano Gatti, Principal, Degree Courses in Economics and Finance, Bocconi University, Claudio Scardovi, Managing Director, Financial Institution Group and Damiano Ventola, Analyst, Financial Institution Group, Nomura
• Using truncated Lévy flight to estimate downside risk
  James X. Xiong, Senior Research Consultant, Ibbotson Associates, a Morningstar company
• Banking regulation, behavioural finance and the financial crisis in Europe: Looking to the Kindleberger-Minsky paradigm
  Yves Rannou, CM-CIC
• Why regulation is an opportunity to build a long-term profitable future
  Jim Devern, Managing Practitioner, Microgen
• Performance of monthly multivariate filtered historical simulation value-at-risk
  Stéphane Chrétien, Associate Professor of Finance, Laval University, Frank Coggins, Associate Professor of Finance and Yves Trudel, Professor, Universite de Sherbrooke
• Grey swans, black swans and risk management
  Sudhakar Raju, Professor of Finance, Rockhurst University

Volume 3 Number 2

• Implied asset correlation in retail loan portfolios
  Marius Botha, Deputy Head of Investment Risk, Gartmore Asset Managers and Gary van Vuuren, Gary van Vuuren, Senior Director, Financial Institutions, Fitch Ratings
• Risk governance at large banks: Have any lessons been learned?
  Alessandra Mongiardino, VP and Senior Credit Officer, Moody’s Risk Management Group and Christian Plath, VP and Senior Analyst, Moody’s Corporate Governance Group
• Regulatory arbitrage and model sophistication in the financial crisis
  Antoine Frachot, Economist, French Ministry of Economics and Senior Adviser in Risk Management, AON Global Risk Consulting
• On the use of covered bonds as an alternative mortgage funding model for US banks
  Rita Biswas, Associate Professor, Department of Finance, Hany A. Shawky, Professor of Finance and Economics, University at Albany, State University of New York and David A. Buzen, Chief Financial Officer and Chief Operating Officer, CIFG Group
• Post-crisis financial risk management: Some suggestions
  Riccardo Rebonato, Head of Front-Office Risk Management and Client Analytics for GBM, RBS
• Portfolio management with semi-parametric bootstrapping
  Beatriz Vaz de Melo Mendes, Associate Professor, Institute of Mathematics/COPPEAD, Federal University at Rio de Janeiro and Ricardo Pereira Câmara Leal, Professor of Finance, Coppead Graduate School of Business
• Managing the riskiness of defined contribution pension funds in a fair-valuation context
  Albina Orlando, Researcher, Consiglio Nazionale delle Ricerche and Massimiliano Politano, Researcher, Universita di Napoli

Volume 3 Number 1

• How has Solvency II been affected by the financial crisis and how will it affect risk management among insurers?
  Sue Kean, Chief Risk Officer, Friends Provident
• Documentation risk in credit default swaps: When is a hedge not a hedge?
  Mark Griffiths, Visiting Professor of Finance, NYU-Stern School of Business and Philip Drake, Arizona State University
• Making the numbers talk: Too much reliance on quantitative measures and too little on qualitative risk analysis
  Peter Jeffreys, Founding Director, Independent Risk Monitoring
• A stochastic processes toolkit for risk management: Mean reverting processes and jumps
  Damiano Brigo, Managing Director, Quantitative Innovation, Fitch Solutions, Antonio Dalessandro, Research Associate, Department of Econometrics, University of Geneva, Matthias Neugebauer, Senior Director, Structured Credit Group, Fitch Ratings and Fares Triki, Financial Stability Directorate, Banque de France
• Modelling correlations in credit portfolio risk
  Bernd Rosenow, Harvard University and Rafael Weissbach, University of Mannheim
• Prime loss: A case study in operational risk
  Patrick McConnell, Partner, Risk Trading Technology
• Spanish savings institutions and the role of cuotas participativas in times of crisis
  Francisco Escribano and Isabel Pardo, University of Castilla, La Mancha
• The crash sonata in D major
  Giorgio Szegö, President, Association for Banking and Finance, University of Lugano