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Content
February 2012, Volume 13, Issue 2
- 160-170 Measuring risk and financial support for NPPs using Monte Carlo simulation
by Hosein Piranfar & Omar Masood - 171-178 To be or not: feeding information in standard minority games
by Angelo Corelli
January 2012, Volume 13, Issue 1
- 4-12 New evidence for underwriting cycles in US property‐liability insurance
by Dorina Lazar & Michel Denuit - 13-31 Industry loss warranties: contract features, pricing, and central demand factors
by Nadine Gatzert & Hato Schmeiser - 32-44 Pricing temperature‐based weather derivatives in China
by Ahmet Göncü - 45-60 Modelling rain risk: a multi‐order Markov chain model approach
by Markus Stowasser - 61-76 Evaluating the cost efficiency of insurance companies in Ghana
by Kwadjo Ansah‐Adu & Charles Andoh & Joshua Abor - 77-94 Parsimonious exposure‐at‐default modeling for unfunded loan commitments
by Pinaki Bag & Michael Jacobs
November 2011, Volume 12, Issue 5
- 356-370 Long memory properties and asymmetric effects of emerging equity market
by Turkhan Ali Abdul Manap & Salina H. Kassim - 371-388 An empirical comparative analysis of various issues of foreign trade among firms in South‐East Asian countries
by Rajeshwar Sirpal - 389-399 US macroeconomic news spillover effects on Vietnamese stock market
by Tho Nguyen - 400-408 The subprime crisis and stock index futures markets integration
by Bakri Abdul Karim & Mohamad Jais & Samsul Ariffin Abdul Karim - 409-420 Corporate derivatives and foreign exchange risk management
by Talat Afza & Atia Alam - 421-434 Constructing stress tests
by John B. Abbink - 435-444 Small enough to fail: a systems approach to financial systems reform
by Michael Mainelli & Bernard Manson
August 2011, Volume 12, Issue 4
- 252-269 Solvency analysis and demographic risk measures
by Mariarosaria Coppola & Emilia Di Lorenzo & Albina Orlando & Marilena Sibillo - 270-290 The structural fragility of financial systems
by Dieter Gramlich & Mikhail V. Oet - 291-305 Bet doubling in gambling and investing
by Zaneta Chapman & Thomas Getzen - 306-314 A conditional CAPM: implications for systematic risk estimation
by Alexandros Milionis - 315-328 Hybrid forecasting models for S&P 500 index returns
by Akihiro Fukushima - 329-338 Revisiting the capital‐structure puzzle: UK evidence
by Basil Al‐Najjar & Khaled Hussainey - 339-347 How does private firms' investment respond to uncertainty?
by Abdul Rashid - 348-350 Money in a time of choleric: Basel blows the bubbles
by Michael Mainelli
May 2011, Volume 12, Issue 3
- 156-167 Corporate social responsibility and organizational effectiveness of insurance companies in Nigeria
by Folake Olowokudejo & S.A. Aduloju & S.A. Oke - 168-181 Brokers' incentives and conflicts of interest in the control of opportunism
by Tajudeen Olalekan Yusuf - 182-194 The demand for micro insurance in Ghana
by Oscar Joseph Akotey & Kofi A. Osei & Albert Gemegah - 195-207 Beta risk estimation of companies listed on the Ghana stock exchange
by Gordon Newlove Asamoah & Anthony Quartey‐Papafio - 208-225 Predicting Tunisian mutual fund performance using dynamic panel data model
by Samira Ben Belgacem & Slaheddine Hellara - 226-241 The determinants of capital structure of Palestine‐listed companies
by Faris M. Abu Mouamer
March 2011, Volume 12, Issue 2
- 84-97 Impact of macroeconomic indicators on Indian capital markets
by Karam Pal & Ruhee Mittal - 98-111 Financial development index and economic growth: empirical evidence from India
by Qazi Muhammad Adnan Hye - 112-120 A simple index of banking fragility: application to Indian data
by Saibal Ghosh - 121-139 Risk management in Indian companies: EWRM concerns and issues
by P.K. Gupta - 140-152 Development of marketing‐driven measure of risk perception
by Ranjit Singh & Amalesh Bhowal
January 2011, Volume 12, Issue 1
- 5-14 Airfare price insurance: a real option model
by Adishwar K. Jain & Raymond A.K. Cox - 15-25 The impact of the financial crisis on the global economy: can the Islamic financial system help?
by Mohamed Ali Trabelsi - 26-40 Prepayment risk and bank performance
by Alex Fayman & Ling T. He - 41-56 Corporate dividends decisions: evidence from Saudi Arabia
by Jasim Al‐Ajmi & Hameeda Abo Hussain - 57-68 Dividend policy and share price volatility: UK evidence
by Khaled Hussainey & Chijoke Oscar Mgbame & Aruoriwo M. Chijoke‐Mgbame - 69-77 Testing forecasting power of the conditional relationship between beta and return
by Rahul Verma
November 2010, Volume 11, Issue 5
- 441-445 Diversification, hedging, and “pacification”
by Michael R. Powers - 446-463 An intergenerational cross‐country swap
by Miret Padovani & Paolo Vanini - 464-480 Value‐at‐risk
by Lindsay A. Lechner & Timothy C. Ovaert - 481-495 A simple parallel algorithm for large‐scale portfolio problems
by Kamal Smimou & Ruppa K. Thulasiram - 496-507 Option pricing for jump diffussion model with random volatility
by A. Thavaneswaran & Jagbir Singh - 508-514 Average run lengths of control charts for monitoring observations from a Burr distribution
by M.A.A. Cox - 515-519 Estimation of a Cox process for credit spreads with semi‐stochastic intensity
by Angelo Corelli
August 2010, Volume 11, Issue 4
- 353-357 Where ignorance is bliss: the “dark corner” of risk classification
by Michael R. Powers - 358-376 Weather derivatives, price forwards, and corporate risk management
by Mulong Wang & Min‐Ming Wen & Charles C. Yang - 377-400 Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities
by Anne Zissu & Carlos Ortiz & Charles Stone - 401-409 Information costs in financial markets: evidence from the Tunisian stock market
by Imene Safer Chakroun & Abdelkader Hamdouni - 410-415 A note on probabilistic confidence of the stock market ILS interval forecasts
by Chenyi Hu - 416-423 Transferring home price risk to investors from individual borrowers
by Dhruv Sharma
May 2010, Volume 11, Issue 3
- 245-248 Uncertainty principles in risk finance
by Michael R. Powers - 249-267 The growing importance of risk in financial regulation
by Marianne Ojo - 268-283 A bird's view of info‐gap decision theory
by Moshe Sniedovich - 284-295 Disentangling the value premium in the UK
by Sulaiman Mouselli - 296-309 Volatility persistence and trading volume in an emerging futures market
by Pratap Chandra Pati & Prabina Rajib - 310-322 Overreaction and portfolio‐selection strategies in the Tunisian stock market
by Mohamed Ali Trabelsi - 323-332 Risk exposure and corporate financial policy on the Ghana Stock Exchange
by Godfred A. Bokpin & Anthony Q.Q. Aboagye & Kofi A. Osei - 333-343 Is there risk of a cataclysm? Changing perceptions of the dollar
by Check Teck Foo - 344-348 Size matters: risk and scale
by Michael Mainelli & Bob Giffords
March 2010, Volume 11, Issue 2
- 125-128 Infinite‐mean losses: insurance's “dread disease”
by Michael R. Powers - 129-146 Risk‐return optimization with different risk‐aggregation strategies
by Stan Uryasev & Ursula A. Theiler & Gaia Serraino - 147-163 The determinants of terrorist shocks' cross‐market transmission
by Konstantinos Drakos - 164-179 Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey
by Alper Ozun & Atilla Cifter & Sait Yılmazer - 180-203 Risk reduction using wavelets for denoising principal‐components regression models
by Salwa Ben Ammou & Zied Kacem & Nabiha Haouas - 204-220 On a class of renewal queueing and risk processes
by K.K. Thampi & M.J. Jacob - 221-223 Interest rates, commodity prices, and the cost‐of‐carry model
by Jacques A. Schnabel - 224-234 Risk management in a pure unit root
by Marcus Davidsson
January 2010, Volume 11, Issue 1
- 5-8 Presbyter takes Knight
by Michael R. Powers - 9-19 Introduction of weather‐derivative concepts: perspectives for Portugal
by Alieva Ghiulnara & Cristina Viegas - 20-61 Safety‐first portfolio optimization after September 11, 2001
by Mahfuzul Haque & Oscar Varela - 62-74 Do investors really value derivatives use? Empirical evidence from France
by Karim Ben Khediri - 75-88 Portfolio evaluation using OWA‐heuristic algorithm and data envelopment analysis
by Abhay Kumar Singh & Rajendra Sahu & Shalini Bharadwaj - 89-106 Determinants of the timing of bank failure in North Cyprus
by Nil Gunsel - 107-110 Gearing investments with uncertainty
by Colin J. Thompson & Mark A. Burgman - 111-116 The eternal coin – made from real money: risks in fiat currencies
by Michael Mainelli
November 2009, Volume 10, Issue 5
- 425-429 How money got its tail (not too light; not too heavy; but “just so”)
by Michael R. Powers - 430-459 Catastrophe reinsurance and risk capital in the wake of the credit crisis
by Christopher L. Culp & Kevin J. O'Donnell - 460-476 Decisions on capital structure in aZakatenvironment with prohibition ofriba
by Jasim Al‐Ajmi & Hameeda Abo Hussain & Nadhem Al‐Saleh - 477-487 The impact of capital‐structure choice on firm performance: empirical evidence from Egypt
by Ibrahim El‐Sayed Ebaid - 488-499 Corporate governance, ownership structure, cash holdings, and firm value on the Ghana Stock Exchange
by Zangina Isshaq & Godfred A. Bokpin & Joseph Mensah Onumah - 500-516 Financial literacy and investment decisions of UAE investors
by Hussein A. Hassan Al‐Tamimi & Al Anood Bin Kalli - 517-536 Basis risk and hedging efficiency of weather derivatives
by Charles C. Yang & Patrick L. Brockett & Min‐Ming Wen
August 2009, Volume 10, Issue 4
- 317-320 Constant‐sum sampling: an apology for statistics' “original sin”
by Michael R. Powers - 321-332 The impact of macroeconomic indicators on Vietnamese stock prices
by Khaled Hussainey & Le Khanh Ngoc - 333-349 Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets
by Charles K.D. Adjasi - 350-364 An econometric analysis of the lead‐lag relationship between India's NSE Nifty and its derivative contracts
by Sathya Swaroop Debasish - 365-376 Detecting risk transmission from futures to spot markets without data stationarity
by Alper Ozun & Erman Erbaykal - 377-392 Methods of payment and foreign‐exchange risk management among firms in Brunei Darussalam
by Rajeshwar Sirpal - 393-409 Forecast of value at risk for equity indices: an analysis from developed and emerging markets
by Alex Yi‐Hou Huang & Tsung‐Wei Tseng
May 2009, Volume 10, Issue 3
- 205-209 Rethinking risk and return: part 2 – some felicitous Fourier frequencies
by Michael R. Powers - 210-227 The effects of advertising media on sales of insurance products: a developing‐country case
by S.A. Aduloju & A.O. Odugbesan & S.A. Oke - 228-243 Economic rehabilitation programme and the existence of implicit deposit insurance in North Cyprus
by Nil Günsel - 244-260 Universal banks and stock‐market reaction
by Harilaos F. Harissis & Andreas Merikas & Stanley Mutenga & Sotiris K. Staikouras - 261-276 Effect of 9/11 on the conditional time‐varying equity risk premium: evidence from developed markets
by Mahfuzul Haque & Imen Kouki - 277-287 An info‐gap approach to managing portfolios of assets with uncertain returns
by Bryan Beresford‐Smith & Colin J. Thompson - 288-304 Control charts for monitoring observations from a truncated normal distribution
by M.A.A. Cox
February 2009, Volume 10, Issue 2
- 101-106 Rethinking risk and return: Part 1 – novel norms for non‐normality?
by Michael R. Powers - 107-130 Ten years' analysis of sovereign risk: noise‐rater risk, panels, and errors
by Pedro Erik Carneiro - 131-141 On the accuracy of loss‐given‐default prediction intervals
by J. Samuel Baixauli & Susana Alvarez - 142-154 Prediction of variability in mortgage rates: interval computing solutions
by Ling T. He & Chenyi Hu & K. Michael Casey - 155-168 Corporate risk management and investment decisions
by Xun Li & Zhenyu Wu - 169-178 Delta hedging a multi‐fixed‐income‐securities portfolio under gamma and vega constraints
by Carlos E. Ortiz & Charles A. Stone & Anne Zissu - 179-192 Multiscale Fama‐French model: application to the French market
by Anyssa Trimech & Hedi Kortas & Salwa Benammou & Samir Benammou
January 2009, Volume 10, Issue 1
- 5-6 Insurance regulation in America – playing out of its league
by Michael R. Powers - 7-22 Are bank stocks sensitive to risk management?
by Rudra Sensarma & M. Jayadev - 23-37 Risk management practices of Islamic banks of Brunei Darussalam
by Abul Hassan - 38-53 An evaluation of alternative scoring models in private banking
by Hussein A. Abdou - 54-66 Weather‐risk hedging by farmers
by Rajiv Seth & Valeed A. Ansari & Manipadma Datta - 67-77 Effect of futures trading on spot‐price volatility: evidence for NSE Nifty using GARCH
by Sathya Swaroop Debasish - 78-90 Value‐relevance of foreign‐exchange and interest‐rate derivatives disclosure
by Rashid Ameer
November 2008, Volume 9, Issue 5
- 417-421 Combining information about … combining information
by Michael R. Powers - 422-431 Incentive incompatibilities and arbitrage opportunities
by Emilio Venezian - 432-448 Rational or irrational expectations? Evidence from China's stock market
by Feng Gao & Fengming Song & Jun Wang - 449-466 Recapitalization, mergers, and acquisitions of the Nigerian insurance industry
by S.A. Aduloju & A.L. Awoponle & S.A. Oke - 467-476 Trading indicators with information‐gap uncertainty
by Colin J. Thompson & Anthony J. Guttmann & Ben J.P. Thompson - 477-492 Jump liquidity risk and its impact on CVaR
by Harry Zheng & Yukun Shen - 492-501 Estimation of VaR in conditional heteroscedastic models for principal‐protected notes
by Fen‐Ying Chen - 502-508 The wicked problem of good financial markets
by Michael Mainelli
August 2008, Volume 9, Issue 4
- 313-316 The sequential sawyer – a tale of frequentist fright
by Michael R. Powers - 317-333 Defining and measuring business risk in an economic‐capital framework
by René Doff - 334-350 Accounting in three dimensions: a case for momentum revisited
by Eric Melse - 351-364 Firm size and corporate financial‐leverage choice in a developing economy
by Abel Ebel Ezeoha - 365-378 Impact of macroeconomic indicators on stock market performance
by Anthony Kyereboah‐Coleman & Kwame F. Agyire‐Tettey - 379-390 Delta hedging of mortgage‐servicing portfolios under gamma constraints
by Carlos E. Ortiz & Charles A. Stone & Anne Zissu - 391-403 Asymmetric rotation of risk factors in a global portfolio
by George A. Christodoulakis
May 2008, Volume 9, Issue 3
- 225-231 Lanchester resurgent? The mathematics of terrorism risk
by Michael R. Powers - 232-243 Catastrophe effects on stock markets and catastrophe risk securitization
by Charles C. Yang & Mulong Wang & Xiaoying Chen - 244-261 A general defender‐attacker risk model for networks
by W.I. Al Mannai & T.G. Lewis - 262-277 An accurate formula for bond‐portfolio stress testing
by Leonard Tchuindjo - 278-286 Immunization without duration for on‐line learning
by Eva C. Yen - 287-291 Wald's maximin model: a treasure in disguise!
by Moshe Sniedovich - 292-302 Conceptual lessons on financial strategy following the US sub‐prime crisis
by Check‐Teck Foo - 303-305 The pond for markets: social and local
by Michael Mainelli
February 2008, Volume 9, Issue 2
- 101-105 The nature of randomness
by Michael R. Powers - 106-124 A practical approach to blend insurance in the banking network
by Panayiotis G. Artikis & Stanley Mutenga & Sotiris K. Staikouras - 125-150 Reputation entrenchment or risk minimization?
by Xun Li & Zhenyu Wu - 151-172 On loss‐avoiding payoff distribution in a dynamic portfolio management problem
by Jacek B. Krawczyk - 173-187 Moments of the time of ruin in a renewal risk model with discounted penalty
by K.K. Thampi & M.J. Jacob - 188-199 Asian options versus vanilla options: a boundary analysis
by George L. Ye - 200-205 Simultaneous output and input hedging: a decision analysis
by Moawia Alghalith - 206-210 Work in progress?
by Chris Gentle - 211-217 Liquidity=Diversity
by Michael Mainelli
January 2008, Volume 9, Issue 1
- 5-8 The nature of randomness
by Michael R. Powers - 9-19 EU Banking Directives: risk and wealth effects on the Greek financial sector
by Themis D. Pantos - 20-39 Corporate hedging and risk management theory: evidence from Polish listed companies
by Karol Marek Klimczak - 40-51 Development in Islamic banking: a financial risk‐allocation approach
by M. Mansoor Khan & M. Ishaq Bhatti - 52-70 Effect of exchange‐rate volatility on foreign direct investment in Sub‐Saharan Africa
by Anthony Kyereboah‐Coleman & Kwame F. Agyire‐Tettey - 71-80 Risk minimization under budget constraints
by Kiseop Lee - 81-88 Alternative measures to value at risk
by Colin J. Thompson & Michael A. McCarthy
November 2007, Volume 8, Issue 5
- 429-433 Intuition and surprise
by Michael R. Powers - 434-449 Why hedge? Rationales for corporate hedging and value implications
by Kevin Aretz & Söhnke M. Bartram & Gunter Dufey - 450-464 Calibrating risk‐neutral default correlation
by Elisa Luciano - 465-480 Prediction of bank failures in emerging financial markets: an ANN approach
by E. Nur Ozkan‐Gunay & Mehmed Ozkan - 481-488 A generalized ROC approach for the validation of credit rating systems and scorecards
by Stylianos Z. Xanthopoulos & Christos T. Nakas - 489-507 Impacts of interval measurement on studies of economic variability
by Ling T. He & Chenyi Hu
August 2007, Volume 8, Issue 4
- 325-329 Thoughts on the “scientific method”: part 2 – frequentist fecklessness
by Michael R. Powers - 330-348 Calibrating asset correlation for Indian corporate exposures
by Arindam Bandyopadhyay & Tasneem Chherawala & Asish Saha - 349-363 Dividend policy and payout ratio: evidence from the Kuala Lumpur stock exchange
by Abdulrahman Ali Al‐Twaijry - 364-379 Debt policy and performance of SMEs
by Joshua Abor - 380-393 Foreign exchange risk exposure of listed companies in Ghana
by Zubeiru Salifu & Kofi A. Osei & Charles K.D. Adjasi - 394-409 Banks' risk management: a comparison study of UAE national and foreign banks
by Hussein A. Hassan Al‐Tamimi & Faris Mohammed Al‐Mazrooei - 410-421 The North Cyprus banking sector: the effect of a speculative attack on the Turkish Lira
by Nil Günsel
May 2007, Volume 8, Issue 3
- 209-213 Thoughts on the “scientific method”: part 1 – ignorance through inconsistency
by Michael R. Powers - 214-229 Weekly volatility forecasts with applications to risk management
by David G. McMillan & Alan E.H. Speight - 230-245 Valuation when bankruptcy is a possibility and taxes matter
by Emilio C. Venezian - 246-259 Hedge fund performance and managerial social capital
by Rosmah Mat Isa & Rashid Ameer - 260-287 On the use of value at risk for managing foreign‐exchange exposure in large portfolios
by Mazin A.M. Al Janabi - 288-308 Insurance risk exchange in the presence of background risk and private information
by Wen‐chang Lin & Jin‐ray Lu - 309-312 Input hedging: generalizations
by Moawia Alghalith
March 2007, Volume 8, Issue 2
- 93-96 Sharing responsibility: what they didn't teach you in kindergarten
by Michael R. Powers - 97-111 Tornado risk analysis in the United States
by Siamak Daneshvaran & Robert E. Morden - 112-132 Weather derivatives: risk‐hedging prospects for agriculture and power sectors in India
by Anil K. Sharma & Ashutosh Vashishtha - 133-155 Data‐efficient model building for financial applications
by Sven Sandow & Xuelong Zhou - 156-165 Systemic risk in modern financial systems: analytics and policy design
by Prasanna Gai & Nigel Jenkinson & Sujit Kapadia - 166-185 An analysis of risk for defaultable bond portfolios
by Hongtao Guo & Guojun Wu & Zhijie Xiao - 186-195 On the surplus prior to ruin in the perturbed classical risk process
by Jiandong Ren
January 2007, Volume 8, Issue 1
- 5-10 Human mortality: written in the stars?
by Michael R. Powers - 11-23 Securitization and risk: empirical evidence on US banks
by Hatice Uzun & Elizabeth Webb - 24-34 Managing credit risk with info‐gap uncertainty
by Bryan Beresford‐Smith & Colin J. Thompson - 35-45 Mapping corporate drift towards default
by Arindam Bandyopadhyay - 46-55 Mapping corporate drift towards default
by Arindam Bandyopadhyay - 56-71 The impact of capital structure on the performance of microfinance institutions
by Anthony Kyereboah‐Coleman - 72-78 Value‐at‐risk concept by Swiss private banks
by Andrey Rogachev - 79-83 Risk‐seekers or rent‐seekers?
by Michael Mainelli - 84-86 The distribution dilemma
by Chris Gentle
October 2006, Volume 7, Issue 5
- 458-462 Catastrophe forecasting: seeing “gray” among the “black boxes”
by Michael R. Powers - 463-487 Dynamic monitoring of financial intermediaries with subordinated debt
by Gloria González‐Rivera & David Nickerson - 488-502 The estimation of nominal and real yield curves from government bonds in Israel
by Zvi Wiener & Helena Pompushko - 503-524 Fuzzy random‐coefficient volatility models with financial applications
by K. Thiagarajah & A. Thavaneswaran - 525-543 Financial applications of ARMA models with GARCH errors
by M. Ghahramani & A. Thavaneswaran - 544-558 Parsimonious principle of GARCH models: a Monte‐Carlo approach
by Jing Wu - 559-574 Approximating the growth optimal portfolio with a diversified world stock index
by Truc Le & Eckhard Platen
August 2006, Volume 7, Issue 4
- 345-347 Pure vs speculative risk
by Michael R. Powers - 348-371 Credit‐default swap rates and equity volatility: a nonlinear relationship
by Fathi Abid & Nader Naifar - 372-385 Pricing credit risk through equity options calibration
by Marco Fabio Delzio