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Description: Journal of Risk Management in Financial Institutions is the leading professional and research journal for all those concerned with the management of risk at retail and investment banks, investment managers, broker-dealers, hedge funds, exchanges, central banks, financial regulators and depositories, as well as service providers, advisers, researchers and academics. Subjects covered include: Risk management; market risk; financial risk; credit risk; operational risk; portfolio strategy and management; risk modelling; liquidity risk; stress testing; commercial lending; compliance and auditing; quantitative risk; interest rate risk; trading risk; treasury and finance; risk analysis; banking supervision and financial regulation.
Series handle: RePEc:aza:rmfi00
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Content
September 2013, Volume 6, Issue 4
July 2013, Volume 6, Issue 3
- 216-218 Editorial: A question of conduct
by Unknown
- 219-228 Coping with inconsistencies in bank risk weighted assets
by Araten, Michel
- 229-252 Strategic risk: The beanstalk syndrome
by Mcconnell, Patrick
- 253-279 Measuring systemic risk in the Colombian financial system: A systemic contingent claims approach
by Romero, Laura Capera & Gonza´Lez, Esteban Go´Mez & Quintero, Mariana Laverde & Mosquera, Miguel A´Ngel Morales
- 280-301 Credit valuation adjustment tail risk and the impact of wrong way trades
by Skoglund, Jimmy & Vestal, Doug & Chen, Wei
- 302-326 Bayesian estimation of probabilities of default for low default portfolios
by Tasche, Dirk
- 327-336 How to implement counterparty credit risk requirements under Basel III: The challenges
by Ouamar, Diana
March 2013, Volume 6, Issue 2
- 116-119 Special issue: How the financial crisis has changed risk management
by Wilson, Thomas
- 120-128 Risk management through the lens of macroprudential policy
by Brinkhoff, Jeroen & Langfield, Sam & Mazzaferro, Francesco & Salleo, Carmello & Weeken, Olaf
- 129-136 Principles for dealing with financial stability risks
by Koschyk, Hartmut
- 137-150 Supervisory challenges in the presence of systemic risk: The IAIS response to the current financial crisis
by Hofmann, Daniel M. & Maroney, John
- 151-159 The globalisation of insurance: A supervisory response
by Kawai, Yoshihiro & Windsor, Peter
- 160-166 From optimisation to resilience: The changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies
by Bosworth, Ed & Rich, Tony
- 167-177 Risk management lessons learned from the financial crisis: One CRO's view
by Wilson, Thomas C.
- 178-180 Risk adjusting the culture of global finance
by Grody, Allan D.
- 181-184 The World Economic Forum: A multistakeholder platform for engaging the financial services industry and its role during the global economic crisis
by Koenitzer, Michael
- 185-187 Risk management in a low-yield environment: Consequences of the financial crisis
by Lehmann, Axel P. & Huber, Carin
- 188-205 A mixed approach to risk aggregation using hierarchical copulas
by Skoglund, Jimmy & Erdman, Donald & Chen, Wei
- 206-208 `Bull by the Horns` by Sheila Bair
by Grody, Allan
January 2013, Volume 6, Issue 1
- 4-5 Rogue trading: Back to front
by Faulds, Frances
- 6-9 Basel Committee’s fundamental review of the trading book: A commentary
by Grody, Allan D. & Fernandes, Kiran J. & Hughes, Peter J. & Steven Toms, J.
- 10-22 Why markets do not trust Basel II Internal Ratings-Based Approach: What can be done about it?
by Samuels, Simon
- 23-36 Lessons for the Irish Government on Basel II and accounting failures
by Flynn, Gerald & Butler, Cormac
- 37-53 Operational risk: A Basel II11 step before Basel III
by Guégan, Dominique & Hassani, Bertrand K.
- 54-66 Where is the ‘system’ in systemic risk literature?
by Brady, Shaun M. & Markeloff, Richard
- 67-74 Risk management infrastructure as a living organism
by Lindo, Steve
- 75-96 Modelling sovereign default risk: comparing models and capturing the impact of the business cycle
by N'Sougan, Yao Djifa & Soumaré, Issouf
- 97-108 Discounting long and uncertain workout recoveries for estimating loss given default
by Roy, Subarna
- 109-110 `Governance Reimagined` by David R. Koenig
by Grody, Allan
September 2012, Volume 5, Issue 4
- 356-358 FX: The clearing conundrum
by Maguire, Frances & Bessis, Joel
- 359-362 The BIS operational risk reviews: Let us not miss the chance of necessary change
by Millar, David
- 363-367 The influence of accounting standards on the performance of the insurance sector
by Vaughan, Therese M.
- 368-371 Quantitative easing: Implications for bond market volatility
by Editorial Board Member (Anonymous),
- 372-389 The effects and risks of quantitative easing
by Mortimer-Lee, Paul
- 390-397 Is the build-up of TARGET2 balances a question of self-contained risk?
by Ulbrich, Jens & Lipponer, Alexander
- 398-420 Evaluation of the Basel VaR-based market risk charge and proposals for a needed adjustment
by Fricke, Jens & Pauly, Ralf
- 421-431 Commercial real estate stress testing in community banks: The low stress kind
by Jones, Brian W.
- 432-446 Quality measures of scoring models
by Siarka, Paweł
June 2012, Volume 5, Issue 3
- 220-223 Guest Editorial
by Canabarro, Eduardo & Grody, Allan D. & Hammel, Eliza & Schuermann, Til
- 224-226 On counterparty risk
by Haldane, Andrew G.
- 227-233 Counterparty credit risk — news, views and open issues
by Böcker, Klaus & Stamm, Roland
- 234-251 General wrong-way risk and stress calibration of exposure
by Pykhtin, Michael
- 252-272 CVA the wrong way
by Rosen, Dan & Saunders, David
- 273-287 Quantification of central counterparty risk
by Arnsdorf, Matthias
- 288-304 Legal and regulatory update: Global identification standards for counterparties and other financial market participants
by Grody, Allan D. & Hughes, Peter J. & Reininger, Daniel
- 305-313 Data aggregation and counterparty identification — considerations for systemic risk analysis
by Krishna, Dilip
- 314-318 Fallacy of moving the OTC derivatives market to CCPs
by Singh, Manmohan
- 319-334 The systemic risks of OTC derivatives central clearing
by Murphy, David
- 335-346 OTC central counterparty clearing: Myths and reality
by Milne, Alistair
- 347-349 `The Devil’s Derivatives` by Nicholas Dunbar
by Grody, Allan
March 2012, Volume 5, Issue 2
- 108-111 The Governance of Risk
by Koenig, David R.
- 112-114 Risk and the shareholder
by Monks, Robert A. G.
- 115-127 ICGN corporate risk oversight guidelines: The role of the board and institutional shareholders
by Breen, Erik & Clearfield, Andrew & Klimczak, Karol M.
- 128-142 The governance of strategic risks in systemically important banks
by Mcconnell, Patrick
- 143-145 Our inability to judge time frames
by Lukomnik, Jon
- 146-161 Data quality in banking: Regulatory requirements and best practices
by Bonollo, Michele & Neri, Massimiliano
- 162-180 Transferring knowledge of risk management to the board of directors and executives
by Rodriguez, Eduardo & Edwards, John S.
- 181-193 The new model of governance and risk management for financial institutions
by Bugalla, John & Kallman, James & Lindo, Steve & Narvaez, Kristina
- 194-210 The governance of value(s)
by Koenig, David R.
- 211-212 `The Corporate Value of ERM — The Next Step in Business Management` by Sim Segal
by Rebonato, Riccardo
- 213-217 `The Unravelling of Structured Investment Vehicles: How Liquidity Leaked Through SIVs` by Henry Tabe
by Gustavo A., Torres
December 2011, Volume 5, Issue 1
- 5-9 Financial losses: An endless story
by Bessis, Joel & Maguire, Frances
- 10-35 Value optimisation in a regulatory constrained regime — A new look at risk vs return optimisation
by Miu, Peter & Ozdemir, Bogie & Giesinger, Michael
- 36-59 Modelling systemic liquidity risk with feedback effects in the UK banking sector
by Van Vuuren, Gary
- 60-75 A value-at-risk approach to commercial real estate portfolio stress testing at US community banks
by Hall, John & Kern, David & Yeager, Timothy & King, Tom & Lee, Kevin
- 76-85 The calculation of portfolio unexpected loss in credit and operational risk
by Samuels, Michael
- 86-95 Credit BuVaR: Asymmetric spread VaR with default
by Wong, Max
- 96-100 Report on Trading of OTC Derivatives of the Technical Committee of the International Organization of Securities Commissions
by Grody, Allan
September 2011, Volume 4, Issue 4
- 324-326 Blurring the lines
by Maguire, Frances & Bessis, Joel
- 327-333 Managing inflationary risk in a dollar-priced world — A key policy priority for G-20
by Editorial Board Member (Anonymous),
- 334-369 Risk-minimising investment strategies — Embedding portfolio optimisation into a dynamic insurance framework
by Theiler, Ursula
- 370-391 The computation of optimised credit transition matrices
by Long, Kete & Keenan, Sean C. & Neagu, Radu & Ellis, John A. & Black, Jason W.
- 392-412 The Crash-NIG copula model: Risk measurement and management of credit portfolios
by Schlösser, Anna & Zagst, Rudi
- 419-432 Market BuVaR: A countercyclical risk metric
by Wong, Max
June 2011, Volume 4, Issue 3
- 212-215 Guest Editorial
by Brigo, Damiano & D'Ecclesia, Rita L.
- 216-228 Causes of the economic crisis: Can the flap of a butterfly wing in Brazil destroy the Coliseum … after 30 years?
by Szegö, Giorgio
- 229-242 Monetary policy, financial stability and interest rate rules
by Di Giorgio, Giorgio & Rotondi, Zeno
- 243-253 Credit models and the crisis: An overview
by Brigo, Damiano & Pallavicini, Andrea & Torresetti, Roberto
- 254-274 Market impact measurement of a VWAP trading algorithm
by Fraenkle, Jan & Rachev, Svetlozar (Zari) & Scherrer, Christian
- 275-285 Modelling longevity risk in practice
by Schiller, Frank & Lepschi, Susanne
- 286-300 Distortion risk measures for hedge funds
by Geman, Hélyette & Kharoubi-Rakotomalala, Cécile
- 301-313 Integration of energy commodity markets in Europe and the USA
by Bencivenga, Cristina & Sargenti, Giulia & D'Ecclesia, Rita
- 314-316 `An Integrated Approach to AssetLiability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams` by Lionel Martellini and Vincent Milhau
by Rebonato, Riccardo
March 2011, Volume 4, Issue 2
- 108-111 Liquidity risk: A risk left to be tamed
by Bessis, Joel
- 112-116 Central counterparties — New uses for a century-old market mechanism
by Grody, Allan D.
- 117-145 A risk-adjusted pricing model for bank loans: Challenging issues from Basel II
by Curcio, Domenico & Gianfrancesco, Igor
- 146-161 Comparative analysis of multiple-guarantor agreements
by Soumaré, Issouf & Youbissi, Fabien & Gendron, Michel
- 162-179 Effectively hedging the interest rate risk of wide floating-rate coupon spreads
by Schröder, Thomas & Dunbar, Kwamie
- 189-200 How valuable is your VaR? Large sample confidence intervals for normal VaR
by Moraux, Franck
- 201-202 `Rethinking Risk Measurement and Reporting — Vols I and II Uncertainty, Bayesian Analysis and Expert Judgement — Vol. I Examples and Applications from Finance — Vol. II` Edited by Klaus Böcker
by Jajuga, Krzysztof
December 2010, Volume 4, Issue 1
- 4-5 Testing times
by Maguire, Frances & Bessis, Joel
- 6-7 Who should the Director of the Office of Financial Research be and why should we care?
by Grody, Allan D. & Mark, Robert M.
- 8-11 Liquidity risk premium in costing of equity capital
by Editorial Board Member,
- 12-17 Adopting risk intelligence in today's volatile market
by Whipple, Allen
- 18-22 Managing your career in risk post-credit crunch
by Harding, Katie
- 23-28 Avoiding the pitfalls of enterprise risk management
by Bates, Leigh
- 29-45 Information theoretic generator estimation with an application to ratings process migration
by Stokes, Jeffrey R.
- 57-73 Risk management and team-managed mutual funds
by Bär, Michaela & Ciccotello, Conrad S. & Ruenzi, Stefan
- 74-96 The impact of bank mergers on liquidity creation
by Pana, Elisabeta & Park, Jin & Query, Tim
- 97-100 `The Known, the Unknown, and the Unknowable in Financial Risk Management Edited` by Francis Diebold, Neil Doherty and Richard Herring
by Bobker, David
September 2010, Volume 3, Issue 4
- 312-317 Editorial
by Unknown
- 318-333 Prediction tools: Financial market regulation, politics and psychology
by Mousavi, Shabnam & Shefrin, Hersh
- 334-365 Validation of economic capital models: State of the practice, supervisory expectations and results from a bank study
by Jacobs, Jr, Michael
- 366-379 When swans are grey: VaR as an early warning signal
by Satchkov, Daniel
- 380-391 A simple method for time scaling value-at-risk: Let the data speak for themselves
by Hamidieh, Kamal & Ensor, Katherine Bennett
- 392-404 Combining non-constant weights with historical simulation VaR
by Rebonato, Riccardo & Shanbhogue, Vasant
- 405-406 `Financial Darwinism` by Leo Tilman
by Ong, Michael
June 2010, Volume 3, Issue 3
- 208-210 Editorial
by Bessis, Joel
- 211-230 Market crises, the financial system and the real economy: Analysis and implications for the global financial services industry
by Scardovi, Claudio & Gatti, Stefano & Ventola, Damiano
- 231-242 Using truncated Lévy flight to estimate downside risk
by Xiong, James X.
- 243-258 Diversification effects in operational risk: A robust approach
by Monti, Fabio & Brunner, Michael & Piacenza, Fabio & Bazzarello, Davide
- 259-277 Performance of monthly multivariate filtered historical simulation value-at-risk
by Chrétien, Stéphane & Coggins, Frank & Trudel, Yves
- 278-295 Banking regulation, behavioural finance and the financial crisis in Europe: Looking to the Kindleberger-Minsky paradigm
by Rannou, Yves
- 296-299 Why regulation is an opportunity to build a long-term profitable future
by Devern, Jim
- 300-303 Grey swans, black swans and risk management
by Raju, Sudhakar
- 304-305 `Operational Risk Assessment: The Commercial Imperative of a More Forensic and Transparent Approach` by Brendon Young and Rodney Coleman
by Grody, Allan
March 2010, Volume 3, Issue 2
- 114-115 All Clear?
by Maguire, Frances
- 116-123 Risk governance at large banks: Have any lessons been learned?
by Mongiardino, Alessandra & Plath, Christian
- 124-134 Regulatory arbitrage and model sophistication in the financial crisis
by Frachot, Antoine
- 135-147 On the use of covered bonds as an alternative mortgage funding model for US banks
by Biswas, Rita & Buzen, David A. & Shawky, Hany A.
- 148-155 Post-crisis financial risk management: Some suggestions
by Rebonato, Riccardo
- 156-173 Implied asset correlation in retail loan portfolios
by Botha, Marius & Vuuren, Gary Van
- 174-183 Portfolio management with semi-parametric bootstrapping
by Mendes, Beatriz Vaz De Melo & Leal, Ricardo Pereira Câmara
- 184-193 Managing the riskiness of defined contribution pension funds in a fair-valuation context
by Orlando, Albina & Politano, Massimiliano
- 194-197 `Global Financial Crisis: Navigating and Understanding the Legal and Regulatory Aspects Consulting;` Edited by Eugenio A. Bruno
by Gray, Joanna & Rebonato, Riccardo
January 2010, Volume 3, Issue 1
- 4-6 Responses to the financial crisis
by Bessis, Joel & Maguire, Frances
- 7-10 How has Solvency II been affected by the financial crisis and how will it affect risk management among insurers?
by Kean, Sue
- 11-15 Making the numbers talk: Too much reliance on quantitative measures and too little on qualitative risk analysis
by Jeffreys, Peter
- 16-30 Modelling correlations in credit portfolio risk
by Rosenow, Bernd & Weissbach, Rafael
- 31-45 The crash sonata in D major
by Szegö, Giorgio
- 46-56 Documentation risk in credit default swaps: When is a hedge not a hedge?
by Griffiths, Mark & Drake, Philip
- 57-64 Spanish savings institutions and the role of cuotas participativas in times of crisis
by Escribano, Francisco & Pardo, Isabel
- 65-83 A stochastic processes toolkit for risk management: Mean reverting processes and jumps
by Brigo, Damiano & Dalessandro, Antonio & Neugebauer, Matthias & Triki, Fares
- 84-104 Prime loss: A case study in operational risk
by Mcconnell, Patrick
- 105-106 Equity Derivatives: Documenting and Understanding Equity Derivative Products by Edmund Parker
by Jajuga, Krzysztof
September 2009, Volume 2, Issue 4
- 336-339 Ergodic failure: The key vulnerability in derivatives modelling
by Editorial Board Member,
- 340-342 Finance is directly related to the environment
by Gregory, Odette
- 343-352 Measuring the risk of institutional change in European financial markets
by Jiang, Wenjiang & Wu, Zhenyu
- 353-364 An alternative methodology for estimating credit quality transition matrices
by Gómez-González, José E. & Acevedo, Paola Morales & García, Fernando Pineda & Gómez, Nancy Zamudio
- 365-393 A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models
by Brigo, Damiano & Dalessandro, Antonio & Neugebauer, Matthias & Triki, Fares
- 394-408 From risk management to ERM
by Rochette, Michel
- 409-426 Managing structured bonds: An analysis using RAROC and EVA
by Cocozza, Rosa & Orlando, Albina
- 427-437 Applying knowledge management to enterprise risk management: Is there any value in using KM for ERM?
by Rodriguez, Eduardo & Edwards, John S.
- 438-450 Minimising operational risk in portfolio allocation decisions
by Fernandes, José Luiz Barros & Ornelas, José Renato Haas
- 451-453 `Restructuring and Workouts — Strategies for Maximizing Value Consulting;` Edited by Ben Larkin
by Breedon, Francis
June 2009, Volume 2, Issue 3
- 232-237 ERM: A strategic tool for hedging performance disruptions
by Samanta, Prodyot
- 238-242 Market turmoil from subprime to Jerome Kerviel: Are models letting the industry down?
by Matz, Leonard
- 243-249 Have we gone too VAR? The forsaken side of risk management
by Payant, W. Randall
- 250-258 Equity valuation: The effect of market share dynamics on the value of multiple product lines
by Stojanovic, Srdjan
- 259-264 The drawbacks of VaR's, or risk management's Byzantine discussion
by Angulo, Javier A.
- 265-283 Retail credit capital charge optimisation and the new Basel Accord
by Botha, Marius & Van Vuuren, Gary
- 284-300 Managing operational risk: Creating incentives for reporting and disclosing
by Hain, Sebastian
- 301-305 The need for greater focus on non-traditional risks: The case of Northern Rock
by Sampath, Vijaya
- 306-323 Financial risk and capital adequacy: The moral hazard problem
by Liu, Mei-Ying
- 324-325 `Commodity Derivatives: Markets and Applications` by Krzysztof Jajuga
by Jajuga, Krzysztof
- 326-327 `Risk Analysis: A Quantitative Guide, 3rd edition` by David Vose
by Jajuga, Krzysztof
March 2009, Volume 2, Issue 2
- 116-120 Black holes in risk governance
by Garnier, Miriam
- 121-129 Calibrating exposure at default for corporate credit lines
by Jimenéz, Gabriel & Lopez, Jose A. & Saurina, Jesús
- 130-140 Pension fund risk management: Multi-stakeholders, risk management and the embedded options approach
by Kocken, Theo
- 141-154 Is China's bond market really inefficient?
by Li, Desmond W. P.
- 155-164 Creating synergy by integrating enterprise risk management and governance
by Hinrichs, Jean
- 165-174 Capital allocation for operational risk
by Brunner, Michael & Piacenza, Fabio & Monti, Fabio & Bazzarello, Davide
- 175-192 Risk-neutral versus objective loss distribution and CDO tranche valuation
by Torresetti, Roberto & Brigo, Damiano & Pallavicini, Andrea
- 193-213 Credit derivatives: Banks' behaviour, financial stability and banking regulation
by Karras, Konstantinos N.
- 214-225 The implosion of the Alt-A mortgage-backed securities market
by Woodward, Luke & Raju, Sudhakar
October 2008, Volume 2, Issue 1
- 4-6 The financial crisis and operational risk management: Unfinished business
by Unknown
- 7-25 Chief risk officers at crunch time: Compliance champions or business partners?
by Mikes, Anette
- 26-35 Investors at a crossroads: Implications for risk management, trading and the real economy
by Rebonato, Riccardo
- 36-46 An arbitrage-based risk diagnostic of the cross-currency basis swap
by Wise, Richard
- 47-56 Financial services in crisis: Operational risk management to the rescue!
by Grody, Allan D. & Hughes, Peter J.
- 57-68 Reporting alignment in the new regulatory environment
by Joseph, Bryan & Barfield, Richard & Hansen, Frank Lyhne
- 69-87 Measuring the relationship between supervisory authorities and banks: An assessment of the German banking sector
by Paul, Stephan & Stein, Stefan & Uhde, Andre´
- 88-106 Abnormal return patterns and hedge fund failures
by Gupta, Bhaswar & Kazemi, Hossein
- 107-109 `Managing Risk in Extreme Environments` by Duncan Martin
by Bobker, David
September 2008, Volume 1, Issue 4
- 348-353 Editorial
by Koenig, David R.
- 354-359 What are we missing in risk management?
by Kloman, Felix
- 360-369 The science of governance: A blind spot of risk managers and corporate governance reform?
by Turnbull, Shann
- 370-381 People risk: Where are the boundaries?
by Mcconnell, Patrick
- 382-393 Towards better financial risk learning
by Waldvogel, Anna & Whelan, Niall
- 394-405 Payment and settlement systems: The case for mutualised risk mitigation within the Basel II framework
by Grody, Allan D.
- 406-415 Operational risk: Lessons from non-financial organisations
by Ashby, Simon
- 416-429 Measuring investor sentiment and behaviour to gauge financial risk
by Rannou, Yves
- 430-434 Risk management and UK defined benefit pension provision: A perspective from financial sociology
by Avrahampour, Yally
- 435-438 Blind spots in current risk management practices: Measurement error
by Bar-Or, Yuval D.
- 439-451 How risky is your risk information?
by Mark, Robert M. & Krishna, Dilip
- 452-457 Back-to-basics on the defensive: Now what for the risk profession?
by Celati, Luca
June 2008, Volume 1, Issue 3
- 236-239 Editorial
by Rebonato, Riccardo
- 240-245 Debunking the securitisation myth: Understanding why the 2007 credit crunch happened
by Wise, Richard
- 246-257 Active capital management: Optimising returns in a multiple stakeholder context
by Zerbs, Michael & Mausser, Helmut & Hansen, Martin
- 258-267 Future trends in the structured credit market
by Felsenheimer, Jochen & Gisdakis, Philip
- 268-276 Best practice and remaining challenges for credit economic capital
by Neale, Corinne
- 277-296 Determinants of bank loan syndication structures for emerging market borrowers
by Godlewskiy, Christophe J.
- 297-310 Safe banking to avoid moral hazard
by Acharya, Sankarshan
- 311-319 The value at risk of the mathematical provision: Critical issues
by Cocozza, Rosa & Di Lorenzo, Emilia & Orlando, Albina & Sibillo, Marilena