International Journal of Risk Assessment and Management (IJRAM)

International Journal of Risk Assessment and Management

2009 Vol.11 No.1/2

Special Issue on Measuring and Managing Financial Risk

Guest Editors: Mario Cerrato and Stefano Herzel

Pages Title and author(s)
1-19Predicting business failure: an application of multicriteria decision aid techniques in the case of small UK manufacturing firms
Fotios Pasiouras, Alexander Tzanetoulakos, Constantin Zopounidis
DOI: 10.1504/IJRAM.2009.022194
20-38Determinants of non-performing loans and banking costs during the 1999-2001 Turkish banking crisis
Omar Masood, Chris Stewart
DOI: 10.1504/IJRAM.2009.022195
39-58Optimal Bayesian portfolios of hedge funds
Jean-Francois Bacmann, Saverio Massi Benedetti
DOI: 10.1504/IJRAM.2009.022196
59-66Mean reversion in the US treasury constant maturity rates
Guglielmo Maria Caporale, Luis A. Gil-Alana
DOI: 10.1504/IJRAM.2009.022197
67-87Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions
Vincenzo Russo
DOI: 10.1504/IJRAM.2009.022198
88-103Option pricing in a hidden Markov model of the short rate with application to risky debt evaluation
Alessandro Ramponi, Sergio Scarlatti
DOI: 10.1504/IJRAM.2009.022199
104-121An HJB approach to exponential utility maximisation for jump processes
Claudia Ceci
DOI: 10.1504/IJRAM.2009.022200
122-137A conditional value-at-risk model for insurance products with a guarantee
Andrea Consiglio, Antonio Pecorella, Stavros A. Zenios
DOI: 10.1504/IJRAM.2009.022201
138-163Default forecasting for small-medium enterprises: does heterogeneity matter?
Dean Fantazzini, Silvia Figini
DOI: 10.1504/IJRAM.2009.022202
164-179Discrete-time affine term structure models: an ARCH formulation
Alessandro Carta, Dean Fantazzini, Mario A. Maggi
DOI: 10.1504/IJRAM.2009.022203
180-200Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market
Giorgia Callegaro, Tiziano Vargiolu
DOI: 10.1504/IJRAM.2009.022204