The Journal of Risk Finance Volume 2 Issue 1

Journal Article

Investing in Skews

MADAN, DILIP B.; MCPHAIL, GAVIN S.

2000 The Journal of Risk Finance

Asset allocation has primarily focused its attention on attaining mean variance efficiency by employing diversification strategies following the portfolio selection methodologies of Markowitz1952. These are important principles that have given rise to a large variety of diversified investment...

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Journal Article

ModelIndependent Measures of Volatility Exposure

KURUC, ALVIN

2000 The Journal of Risk Finance

doi:10.1108/eb022942

The development of standardized measures of institutionwide volatility exposures has so far lagged that for measures of asset price and interestrate exposurelargely because it is difficult to reconcile the various mathematical models used to value options. Recent mathematical results, however,...

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Journal Article

Does Volatility Pay

BARONEADESI, GIOVANNI

2000 The Journal of Risk Finance

doi:10.1108/eb022943

A major focus of the literature in financial economics is the predictability of excess stock returns. Variables such as interest rates and dividend yields to some degree appear to predict the variation of expected returns over time.

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Journal Article

A Practitioner's Guide to Active Portfolio Management Using Implied View

LEE, BERNARD

2000 The Journal of Risk Finance

doi:10.1108/eb022944

The Implied View of a portfolio can offer powerful insights to the savvy portfolio manager. This article presents a heuristic by which these returns can be computed, using information that is readily available from the public domain. We will also present a computational example to illustrate how...

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Journal Article

Capital Requirement A New Method Based on Extreme Price Variations

LONGIN, FRANOIS

2000 The Journal of Risk Finance

doi:10.1108/eb022945

From a regulatory point of view, as explained by Dimson and Marsh 1994, 1995, the amount of capital required by a financial institution to ensure an acceptably small probability of failure should depend on the risk associated with the assets detained in its portfolio. Dimson and Marsh 1994...

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Journal Article

Accounting for Value at Risk in Financial Institutions' Portfolios

DOWD, KEVIN

2000 The Journal of Risk Finance

doi:10.1108/eb022946

One of the most important developments in portfolio risk management in the 1990s was the increased use of Value at Risk VaR. VaR has enjoyed a spectacular rise, from being largely unknown at the beginning of the 1990s, to prominence among financial institutions and, more recently, also in the...

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Journal Article

Sending the Herd Off the Cliff Edge The Disturbing Interaction Between Herding and MarketSensitive Risk Management Practices

PERSAUD, AVINASH

2000 The Journal of Risk Finance

doi:10.1108/eb022947

In the international financial arena, G7 policymakers chant three things more marketsensitive risk management, stronger prudential standards, and improved transparency. The message is that we do not need a new world order, but we can improve the workings of the existing one. While many believe...

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Journal Article

Efficient RiskReturn Frontiers for Credit Risk

MAUSSER, HELMUT; ROSEN, DAN

2000 The Journal of Risk Finance

doi:10.1108/eb022948

The riskreturn tradeoff has been a central tenet of portfolio management since the seminal work of Markowitz 1952. The basic premise, that higher expected returns can only be achieved at the expense of greater risk, leads naturally to the concept of an efficient frontier. The efficient frontier...

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The Journal of Risk Finance Volume 2 Issue 1

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