Table of contents
Better Dynamic Hedging
JARROD WILCOXMany investors have been disappointed with the practical results of portfolio insurance programs, which attempt to achieve option‐like results through dynamic hedging. This…
Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios
FRANÇOIS‐SERGE LHABITANTThe author suggests an empirical model to analyze the investment style of individual hedge funds and fund of funds. This approach is based on a mixture of the style analysis…
Estimating the Failure Probabilities of Financial Institutions: A Simple Approach
KEVIN DOWDThis article uses a Value‐at‐Risk approach to derive an estimator of the failure probability of a financial institution. The proposed approach can be applied to any profit/loss…
Territorial Diversification of Catastrophe Bonds
GORDON WOOOne aspect of the growing issuance in catastrophe bonds is the increasing geographic diversity of coverage. Although catastrophe bonds initially focused on a single peril and…
Stirrings in Secondary Markets: or Does Disaster Deserve Double Duration Analysis?
MORTON N. LANEIn the insurance‐linked securities (ILS) market, where trends in underlying (reinsurance) prices are hard for outsiders to discern, secondary market prices could provide valuable…
Untangling Spreads: Risk, Credit, Liquidity and All That
LEO M. TILMAN, GENE COHLERThis commentary discusses issues related to the important task of separating the spreads of fixed income securities into various components, related to liquidity, credit, and the…
Fundamentals of Financial Markets III
This is the third and final installment introducing fundamental concepts to those convergence market participants who are less familiar with financial markets, instruments, and…
Fundamentals of Insurance Markets I: A Survey of Relevant Texts
This is the first of a series of surveys written to familiarize readers with theoretical concepts underlying the mathematics and economics of pricing insurance risk. This survey…
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza