Volume 30; Issue 2

Journal of Banking & Finance

Volume 30; Issue 2
1

Risk management and optimization in finance

Pavlo Krokhmal, R. Tyrrell Rockafellar, Stan Uryasev
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 47 KB
english, 2006
2

Dynamic portfolio selection with process control

Leonard MacLean, Yonggan Zhao, William Ziemba
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 272 KB
english, 2006
3

Analysis of criteria VaR and CVaR

Andrey I. Kibzun, Evgeniy A. Kuznetsov
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 221 KB
english, 2006
6

A value-of-information approach to measuring risk in multi-period economic activity

Georg Ch. Pflug
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 315 KB
english, 2006
10

Applying CVaR for decentralized risk management of financial companies

John M. Mulvey, Hafize G. Erkan
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 227 KB
english, 2006
11

Implied migration rates from credit barrier models

Claudio Albanese, Oliver X. Chen
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 387 KB
english, 2006
12

Minimizing CVaR and VaR for a portfolio of derivatives

S. Alexander, T.F. Coleman, Y. Li
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 257 KB
english, 2006
13

The hidden dangers of historical simulation

Matthew Pritsker
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 406 KB
english, 2006
14

Utility-based performance measures for regression models

Craig Friedman, Sven Sandow
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 288 KB
english, 2006
15

A moment computation algorithm for the error in discrete dynamic hedging

James A. Primbs, Yuji Yamada
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 239 KB
english, 2006
18

Optimal credit limit management under different information regimes

Markus Leippold, Paolo Vanini, Silvan Ebnoether
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 376 KB
english, 2006
19

The magnitude of a market crash can be predicted

S.Y. Novak, J. Beirlant
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 410 KB
english, 2006
20

Portfolio optimization with stochastic dominance constraints

Darinka Dentcheva, Andrzej Ruszczyński
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 232 KB
english, 2006
21

Pricing methods and hedging strategies for volatility derivatives

H. Windcliff, P.A. Forsyth, K.R. Vetzal
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 274 KB
english, 2006
22

Interaction of credit and liquidity risks: Modelling and valuation

Harry Zheng
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 211 KB
english, 2006
23

Multi-period stochastic optimization models for dynamic asset allocation

Norio Hibiki
Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 657 KB
english, 2006
25

Editorial Board

Journal:
Journal of Banking & Finance
Year:
2006
Language:
english
File:
PDF, 28 KB
english, 2006