Advances in Risk Management

1. Impact of the Collection Threshold on the Determination of the Capital Charge for Operational Risk
Yves Crama, Georges Hübner, Jean-Philippe Peters

2. Incorporating Diversification into Risk Management
Amiyatosh Purnanandam, Mitch Warachka, Yonggan Zhao, William T. Ziemba

3. Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies
Emanuele Borgonovo, Marco Percoco

4. Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model
Manuel Moreno

5. An Essay on Stochastic Volatility and the Yield Curve
Raymond Théoret, Pierre Rostan, Abdeljalil El-Moussadek

6. Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation
Hayette Gatfaoui

7. A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-Style Credit Risk Models
Jean-David Fermanian, Mohammed Sbai

8. The Modeling of Weather Derivative Portfolio Risk
Stephen Jewson

9. Optimal Investment with Inflation-Linked Products
Taras Beletski, Ralf Korn

10. Model Risk and Financial Derivatives
François-Serge Lhabitant

11. Evaluating Value-at-Risk Estimates: A Cross-Section Approach
Raffaele Zenti, Massimiliano Pallotta, Claudio Marsala

12. Correlation Breakdowns in Asset Management
Riccardo Bramante, Giampaolo Gabbi

13. Sequential Procedures for Monitoring Covariances of Asset Returns
Olha Bodnar

14. An Empirical Study of Time-Varying Return Correlations and the Efficient Set of Portfolios
Thadavillil Jithendranathan

15. The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows
Jean-Paul Paquin, Annick Lambert, Alain Charbonneau

16. Have Volatility Transmission Patterns between the USA and Spain Changed after September 11?
Helena Chuliá, Francisco J. Climent, Pilar Soriano, Hipòlit Torró

17. Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates
Helena Chuliá, Hipòlit Torró

18. On Model Selection and its Impact on the Hedging of Financial Derivatives
Giuseppe Graziano, Stefano Galluccio

Avainsanat: Finance, Risk Management, International Business, Business Finance, Corporate Finance, Investments and Securities, Management