Volume 2 (2008-09)

Each volume of Journal of Risk Management in Financial Institutions consists of four quarterly 100-page issues. The articles published in Volume 2 were:

Volume 2 Number 4

  • An alternative methodology for estimating credit quality transition matrices
    José E. Gómez-González, Director of Markets Operations, Paola Morales Acevedo, Economist, Fernando Pineda García, Economist, and Nancy Zamudio Gomez, Economist, Department of Financial Stability, Central Bank of Colombia
  • From risk management to enterprise risk management
    Michel Rochette, Enterprise Risk Advisory, Aviva
  • A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models
    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
  • Minimising operational risk in portfolio allocation decisions
    José Luiz Barros Fernandes, Advisor and José Renato Haas Ornelas, Advisor, Executive Office for Integrated Risk Management, Central Bank of Brazil
  • Managing structured bonds: An analysis using RAROC and EVA
    Rosa Cocozza, Professor of Financial Risk Management, University of Naples and Albina Orlando, Senior Researcher, Italian National Research Council
  • Ergodic failure: The key vulnerability in derivatives modelling
    Editorial Board Member (author wishes to remain anonymous)
  • Measuring the risk of institutional change in European financial markets
    Wenjiang Jiang, Professor of Financial Mathematics and Mathematical Statistics, Yunnan Normal University and Zhenyu Wu, Associate Professor of Finance, Edwards School of Business, University of Saskatchewan
  • Finance is directly related to the environment
    Odette Gregory, Founder, Gregorian Consulting
  • Applying knowledge management to enterprise risk management: Is there any value in using knowledge management for ERM?
    Eduardo Rodriguez, Quantitative Analyst, EDC Export Development Canada and John S. Edwards, Professor of Operational Research and Systems, Aston Business School


Volume 2 Number 3

  • Market turmoil from sub-prime to Jerome Kerviel: Are models letting the industry down?
    Leonard Matz, International Director of Liquidity and Interest Rate Risk Consulting, SunGard BancWare
  • The drawbacks of VaR's, or risk management's Byzantine discussion
    Javier A. Angulo, VP, Risk Capital Analytics Group, National City Bank
  • Retail credit capital charge optimisation and the new Basel Accord
    Marius Botha, Quantitative Analyst and Portfolio Manager, Threadneedle and Gary van Vuuren, Special Projects Group, Fitch Ratings
  • Have we gone too VAR? The forsaken side of risk management
    Randall Payant, Principal, WRP Consulting
  • Equity valuation: The effect of market share dynamics on the value of multiple product lines
    Srdjan Stojanovic, Professor of Mathematics, University of Cincinnati
  • The need for greater focus on non-traditional risks: The case of Northern Rock
    Vijaya Sampath, Global Business Solutions Center, IBM India
  • ERM: A strategic tool for hedging performance disruptions
    Prodyot Samanta, Founder and CEO, ThirdEye Risklnsights
  • Managing operational risk: Creating incentives for reporting and disclosing
    Sebastian Hain, Goethe University
  • Financial risk and capital adequacy: The moral hazard problem
    Mei-Ying Liu, Associate Professor, Department of Business Administration, Soochow University


Volume 2 Number 2

  • Black holes in risk governance
    Miriam Garnier, Chairman of Finance & Governance, SAS
  • Calibrating exposure at default for corporate credit lines
    Gabriel Jimenez, Head, Banking Analysis Unit, Jesús Saurina, Director, Financial Stability Department, Banco de Espana, Jose A. Lopez, Research Adviser, Economic Research Department, Federal Reserve Bank of San Francisco
  • Is China's bond market inefficient?
    Desmond W. P. Li, Executive Director, Goldman Sachs (Asia)
  • Creating synergy by integrating enterprise risk management and governance
    Jean Hinrichs, former Chief Audit Executive, Fannie Mae
  • Risk-neutral versus objective loss distribution and CDO tranche valuation
    Roberto Torresetti, Synthetic Structured Credit Derivatives Business, BBVA, Damiano Brigo, Managing Director and Global Head, Quantitative Innovation, Fitch Solutions and Andrea Pallavicini, Head of Financial Engineering, Banca Leonardo
  • Capital allocation for operational risk
    Michael Brunner, Fabio Piacenza, Senior Quantitative Analyst, Operational Risk Management, Fabio Monti, Senior Quantitative Analyst, Operational Risk Management, Davide Bazzarello, Group Head of Operational Risk, UniCredit Group
  • Credit derivatives: Banks' behaviour, financial stability and banking regulation
    Konstantinos N. Karras, Risk Management Division, Emporiki Bank
  • The implosion of the Alt-A mortgage-backed securities market
    Luke Woodward, AVP, State Street and Sudhakar Raju, Professor of Finance, Rockhurst University
  • Pension fund risk management: Multi-stakeholders, risk management and the embedded options approach
    Theo Kocken, Founder and CEO, Cardano


Volume 2 Number 1

  • An arbitrage-based risk diagnostic of the cross-currency basis swap
    Author wishes to remain anonymous
  • Chief risk officers at crunch time: Compliance champions or business partners?
    Anette Mikes, Harvard Business School
  • Investors at a crossroads: Implications for risk management, trading and the real economy
    Riccardo Rebonato, Global Head of Market Risk and Global Head, Quantitative Research Team, RBS
  • Financial services in crisis: Operational risk management to the rescue!
    Allan D. Grody, President, Financial InterGroup Holdings and Peter J. Hughes, Managing Director, ARC Best Practices
  • Measuring the relationship between supervisory authorities and banks: An assessment of the German banking sector
    Stephan Paul, Professor of Banking and Finance, André Uhde, Ruhr-University of Bochum and Stefan Stein, Dean, Faculty of Economics and Business Administration, BiTS Business and IT School
  • Reporting alignment in the new regulatory environment
    Bryan Joseph, Partner, Actuarial & Insurance Management Solutions, Richard Barfield, Director, Risk Advisory and Frank Lyhne Hansen, Senior Manager, Enterprise Risk Management, PricewaterhouseCoopers
  • Abnormal return patterns and hedge fund failures
    Bhaswar Gupta, Research Director, Center for International Securities and Derivatives Markets and Hossein Kazemi, Professor of Finance, Isenberg School of Management, University of Massachusetts