Titlebook: Risk Management: The State of the Art; Stephen Figlewski,Richard M. Levich Book 2002 Springer Science+Business Media New York 2002 Credit

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Industrial Risk Management with Weather Derivativese that weather risk management problems are meaningful, in that the risk faced by the afflicted parties is compelling, and also to demonstrate that weather derivatives are an effective means of dealing with this risk. I present examples from fuels transport, agriculture, and power generation that il

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Designing and Pricing New Instruments for Insurance and Weather Risksion should also continue, especially with the Glass-Steagall repeal potentially encouraging insurance company buyouts. The resulting consolidation of large aggregate risk positions, such as Florida wind and California quake, may need to be “topped-off” and transferred to financial intermediaries oth

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Measuring Credit Risk: The Credit Migration Approach Extended for Credit Derivativesproach”, as initially proposed by JP Morgan with CreditMetrics, is based on the analysis of credit migration, i.e., the probability of moving from one credit quality to another, including default, within a given time horizon (often arbitrarily taken to be one year). The first generation of credit mi

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The Y2K Enigmay days of computers when programmers used two digits to represent the full four-digit year, e.g., “72” rather than” 1972”. A few years ago it was realized that this abbreviation is ambiguous as we enter the new millennium. “00” for 2000 could also mean “00” for 1900. The two digit ‘years” code may c

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Risk, Regimes, and Overconfidence investors ignore the effect of interim losses, no matter how severe. Investors also measure risk as though returns come from a single regime, which may understate the likelihood and severity of interim losses.

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An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings93 (see .).. The 8% ratio has been criticized on at least three major grounds. First, it gives an equal risk-weighting to all corporate credits whether of high or low credit quality. Second, it fails to incorporate potential capital savings from credit (loan) portfolio diversification. The latter is