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