Purpose Retailers have long been aware that weather affects the sales of a myriad of products, but until now, most were not in a position to manage the risks weather presents. Rising weather variability combined with advances in weather-index financial instruments have prompted new interest in...

"Updated look at financial modeling and Monte Carlo simulation with software by Oracle Crystal BallThis revised and updated edition of the bestselling book on financial modeling provides the tools and techniques needed to perform spreadsheet simulation. It answers the essential question of why...

Purpose Value at risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities, and various methods are proposed in the literature for its estimation. However, limited studies discuss its distribution or its confidence intervals. The purpose of this paper is...

Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance...

Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing...

An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit...