« PRMIA Training Course Focuses on Basel III, Dodd-Frank, and Operational Risk Impacts from Regulation |
Main
| PRMIA Invites U.S. Members to Share Their Feedback on U.S. Consumer Credit »
August 04, 2011
New issue of Journal of Risk Management in Financial Institutions Now Available
The newest issue of the Journal of Risk Management in Financial Institutions (JRMFI) - Volume 4, Issue 3 - is now available.
This issue has been guest-edited by Professor Damiano Brigo of King's College London and Dr Rita D'Ecclesia of Sapienza University of Rome. It is based on the themes and findings of The International Summer School on Risk Measurement and Control which takes places annually and brings together practitioners and academics to discuss the current trends and areas of concern. The papers in this issue are based on the issues and themes that were covered during the 2010 Summer School.
Here is a snapshot of the issue:
Causes of the economic crisis: Can the flap of a butterfly wing in Brazil destroy the Coliseum ... after 30 years
Giorgio Svego
This paper argues that the current US-made economic crisis was caused by unintended perverse consequences of remote well-meaning political decisions, such as the 1977 Community Reinvestment Act and the xploitation of government-sponsored enterprises, such as Fannie Mae etc, that began in the 1990s. Furthermore, it is argued the fivefold interest rate increases in the USA between 2003 and 2008 that charged an additional US$70bn to the three million holders of adjustable rate mortgages triggered the crash.
Monetary policy, financial stability and interest rate rules
Giorgio Di Di Giorgio and Zeno Rotondi
An investigation of the empirical properties of simple interest rate rules that embed either "backward" or "forward" interest rate smoothing. Such interest rate rules can be rationalised as the operative reaction functions used by central banks pursuing monetary policy and financial stability targets. This paper considers the implications of banks' risk management practices for monetary policy and derives interest rate rules by modelling the desire of the central bank to stabilise different definitions of the "basis" risk as a contribution to financial stability.
Credit models and the crisis: An overview
Damiano Brigo, Andrea Pallavicini & Roberto Torresetti
This paper describes the evolution of methodologies used to price credit derivatives and collateralised debt obligations (CDOs) from the Gaussian copula model, to the arbitrage-free dynamic loss models, to the generalised Poisson loss (GPL) model to the implied copula model, and finally to the notion of expected tranche loss, a model independent quantity that can be easily stripped from CDO data and may be useful for interpolation.
Market impact measurement of a VWAP trading algorithm
Jan Fraenkle, Svetlozar (Zari) Rachev & Christian Scherrer
This paper proposes a model for the market impact of algorithmic trades using the VWAP (volume-weighted average price) trading algorithm, demonstrating that the VWAP algorithm is the optimal solution using the market impact models presented in this paper. The purpose of this work is the empirical market impact analysis of a homogeneous set of algorithmic trades.
Modelling longevity risk in practice
Frank Schiller and Susanne Lepschi
In this paper there is a comparison of different models used in practice for calibrating future developments of mortality rates and a discussion of their key shortfalls and issues. One of the main differences between the models lies in the width of the distribution for the forecast. The results are further compared to the standard model in Solvency II and it is shown that from the perspective of time consistency all models are superior to the standard model.
Distortion risk measures for hedge funds
Helyette Geman
Cecile Kharoubi-Rakotomalala
Catastrophic risk and insurance risk have required the use of specific risk measures for reinsurance companies to survive over the centuries. The goal in this paper is to apply the distortion risk measures introduced in actuarial sciences, as described by Wang (2000) in the Journal of Risk and Insurance, to the assessment of hedge funds risk.
Integration of energy commodity markets in Europe and the USA
Cristina Bencivenga, Giulia Sargenti & Rita D'Ecclesia
This paper analyses the relationships between crude oil, natural gas and electricity prices in two deregulated markets: the USA and Europe. The relationship between oil, gas and electricity is a crucial issue for risk management purposes. For instance, the wide-spread use of energy derivatives to hedge possible unexpected changes in the prices of fuel sources requires an accurate estimation of the existing correlation between these commodities.
PRMIA full Sustaining members receive the digital version of the JRMFI as a part of their membership. They may access the Journal in the "My Library" area of the PRMIA website. To purchase a Journal subscription, visit http://prmia.org/index.php?page=training&option=trainingRMFILibraryJournal
Posted by PRMIA_Marketing at August 4, 2011 10:43 AM
Post a comment
