Purpose – The purpose of this paper is to apply safety-first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....

Purpose – It is the purpose of this article to empirically test the risk parameters for larger foreign-exchange portfolios and to suggest real-world policies and procedures for the management of market risk with the aid of value at risk (VaR) methodology. The aim of this article is to fill a...

Purpose – The purpose of this paper (the first of two) is to consider measures of risk commonly used in the analysis of both investment and insurance portfolios, and argue that there is a need for more appropriate measures to capture the uncertainty inherent in non-normal (i.e. asymmetric...

Purpose – The purpose of this paper is to apply safety-first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....

Purpose – The purpose of this paper is to clarify a number of important facts about info-gap decision theory. Design/methodology/approach – Theorems are put forward to rebut claims made about info-gap decision theory in papers published in this journal and elsewhere. Findings – Info-gap's...

Purpose – The purpose of this paper is to clarify a number of important facts about info-gap decision theory. Design/methodology/approach – Theorems are put forward to rebut claims made about info-gap decision theory in papers published in this journal and elsewhere. Findings – Info-gap's...

Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is always cheaper than its plain vanilla European counterpart in a general setting. Design/methodology/approach – The paper shows that by letting volatility go to zero, the lower bounds of Asian...

Purpose–The purpose of this paper is to build an easy to implement, pragmatic and parsimonious yet accurate model to determine an exposure at default (EAD) distribution for CCL (contingent credit lines) portfolios. Design/methodology/approach–Using an algorithm similar to the basic...

Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. The purpose of this paper is to find empirical relationship between the default and asset correlation with default probability, to understand the effect of systematic risk....

Purpose – The purpose of this paper is to explore the roles of diversification, hedging, and a third risk-reduction process – “pacification” – in risk finance. Design/methodology/approach – After briefly reviewing the concepts of diversification and hedging, a simple mathematical...