Table of contents
Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation
ROBERT G. TOMPKINSThe depth and breadth of the market for contingent claims, including exotic options, has expanded dramatically. Regulators have expressed concern regarding the risks of exotics to…
Assessing the Pre‐Commitment Approach to Bank Capital Regulation
KEVIN DOWDThe pre‐commitment approach to bank capital regulation proposes that banks self‐select capital reserve requirements, facing penalties ex post for incurring losses in excess of…
Dimension Reduction in the Computation of Value‐at‐Risk
CLAUDIO ALBANESE, KEN JACKSON, PETTER WIBERGRegulators require banks to employ value‐at‐risk (VaR) to estimate the exposure of their trading portfolios to market risk, in order to establish capital requirements. However…
Insuring California Earthquakes and the Role for Catastrophe Bonds
JOSE S. PENALVA ZUASTIThis article examines the economic impact of a major California earthquake, by focusing on the catastrophic damage to residential real estate. It asserts that the damage, although…
Loss Ratio on Insurance Equity Securities: A New Step in Insurance Securitization
SYLVIE BOURIAUX, DAVID T. RUSSELLThe recent trend of integrated risk management has resulted in corporations reassessing their risk management practices. Insurance derivatives and insurance‐linked securities are…
Have Financial Markets Learned from Past Crises? (Part II)
LEO M. TILMAN, AJAY RAJADHYAKSHAThis second installment of commentary regarding recent financial crises discusses market dislocations over the past year (the first installment focused on market conditions…
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ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza