Reik H. Boerger; Alvaro Cartea; Ruediger Kiesel; Gero Schindlmayr
A Multivariate Commodity Analysis and Applications to Risk Management
2007, Social Science Research Network Electronic Library

Abernathy, Jerome ; Green, Henry
Trading Strategy Forum: Systematic Currency Trading Advisors
2000, Journal of Alternative Investments, Volume 3, Number 3, pp. 68-72

Abken, Peter A.
An Empirical Evaluation of Value at Risk by Scenario Simulation
2000, Journal of Derivatives, Volume 7, Number 4, pp. 12 - 30

Acar, Emmanuel ; Lequex, Pierre
Pursuing the Debate on Active Currency Management
2001, Journal of Alternative Investments, Volume 3, Number 4, pp. 9-28

Acharya, Viral; HejePedersen, Lasse
Asset pricing with Liquidity Risk
2003, Social Science Research Network Electronic Library

Albanese, Claudio; Jackson, Ken; Wiberg, Petter
Dimension Reduction in the Computation of Value-at-Risk
2002, Journal of Risk Finance, Volume 3, Number 4, pp. 41 - 53

Alcantara, Silvia Dos; Duarte, Antonio Marcos, Jr.
Mean-Value-At-Risk Optimal Portfolios With Derivatives
1999, Derivatives Quarterly, Volume 6, Number 2, pp. 56 - 63

Alessandrini, Fabio
Credit Risk, Interest Rate Risk, and the Business Cycle
1999, Journal of Fixed Income, Volume 9, Number 2, pp. 42-53

Alexander S. Cherny, Raphael Douady, Stanislav Molchanov
On Measuring Risk with Scarce Observations
2008, Social Science Research Network Electronic Library

Alizadeh S.; Brandt M.W.; Diebold F.X.
Range-Based Estimation of Stochastic Volatility Models
2002, Journal of Finance, Volume 57, Number 3, pp. 1047-1091

Andersen, J. V.; Sornette, D.
Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risks!
2001, Journal of Risk Finance, Volume 2, Number 3, pp. 70 - 82

Anderson, Anne M.; Maxwell, William ; Barnhill, Jr., Theodore M.
Contingent Claims Analysis Applied in Credit Risk Modeling
2002, Journal of Fixed Income, Volume 12, Number 3, pp. 24-31

Andrew Perry; Arne Schmidt
The Asset Finance Space: Strategies, Performance and Risk
2007, Journal of Alternative Investments, Volume Fall

Andrew W Lo
Risk Management for Hedge Funds: Introduction and Overview
2001, Financial Analysts Journal, Volume 57, Number 6, pp. 16

Aragones, Jose Ramon; Blanco, Carlos; Dowd, Kevin
Incorporating Stress Tests into Market Risk Modeling
2001, Derivatives Quarterly, Volume 7, Number 3, pp. 44 - 50

Arvanitis, Angelo; Gregory, Jonathan; Martin, Richard
Hedging Financial Risk Subject to Asymmetric Information
2000, Journal of Risk Finance, Volume 1, Number 2, pp. 9 - 18

Avramov, Doron; Chao, John; Chordia, Tarun
Hedging Against Liquidity Risk and Short Sale Constraints
2002, Social Science Research Network Electronic Library

Bacinello, Anna Rita; Persson, Svein-Arne
Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rates
2002, Journal of Risk Finance, Volume 3, Number 2, pp. 6 - 21

Basak, Suleyman; Shapiro, Alex; Tepla, Lucie
Risk Management with Benchmarking
2002, Social Science Research Network Electronic Library

Beckers, Stan
Investment Implications of a Single European Capital market
1999, Journal of Portfolio Management, Volume 25, Number 3, pp. 9-17

Beder, Tanya Styblo
The Great Risk Hunt
1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 28 - 34

Beder, Tanya Styblo
The Great Risk Hunt
1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 28-34

Belbase, Eknath ; Szakallas, Daniel
The Yield Curve and Mortgage Current Coupons
2002, Journal of Fixed Income, Volume 11, Number 4, pp. 78-86

Belden, Susan; Waring, M. Barton
Compared to What? A Debate on Picking Benchmarks
2001, Journal of Investing, Volume 10, Number 4, pp. 66 - 72

Beliossi, Giovanni
Market Neutral Strategies
2002, Journal of Alternative Investments, Volume 5, Number 2, pp. 93-96

Bell, Sally H.; Dubofsky, David A.
Currency Price Risk Hedging and Speculation in a Random Walk Market
2002, Journal of Investing, Volume 11, Number 1, pp. 69 - 73

Ben Branch; Jia Wang
Risk-Arbitrage Spreads and Performance of Risk Arbitrage
2008, Journal of Alternative Investments, Volume Summer

Berkowitz J.; O'Brien J.
How Accurate Are Value-at-Risk Models at Commercial Banks?
2002, Journal of Finance, Volume 57, Number 3, pp. 1093-1111

Berkowitz, Jeremy
Dealer Polling with Noisy Reporting of Interest Rates
1999, Journal of Fixed Income, Volume 9, Number 1, pp. 47-54

Berkowitz, Jeremy; O'Brien, James
How Accurate Are Value-at-Risk Models at Commercial Banks?
2002, Journal of Finance, Volume 57, pp. 1093 - 1111

Bertonazzi, Eric ; Maloney, M.T.
Does Implied Volatility Imply Volatility-in Bonds?
2001, Journal of Fixed Income, Volume 11, Number 3, pp. 54-60

Bessembinder H.; Lemmon M.L.
Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets
2002, Journal of Finance, Volume 57, Number 3, pp. 1347-1382

Bhanot, Karan
Stability of Transition Densities: Evidence from Competing Interest Rate Models
2000, Journal of Fixed Income, Volume 9, Number 4, pp. 27-34

Bhanot, Karan
Dynamics of Credit Spreads: A Non-Parametric Analysis
2001, Journal of Fixed Income, Volume 11, Number 2, pp. 28-35

Bhanot, Karan
Pricing Corporate Bonds with Rating-Based Covenants
2003, Journal of Fixed Income, Volume 12, Number 4, pp. 57-64

Blitz, David C.; Hottinga, Andiouke
Tracking Error Allocation
2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 19 - 26

Bogentoft, Erik; Romeijn, H. Edwin; Uryasev, Stanislav
Asset/Liability Management For Pension Funds Using CVAR Constraints
2001, Journal of Risk Finance, Volume 3, Number 1, pp. 57 - 71

Bomfim, Antulio N.
Measuring Equilibrium Real Interest Rates: What Can We Learn from Yields on Indexed Bonds?
2001, Journal of Fixed Income, Volume 11, Number 3, pp. 61-69

Bomfim, Antulio N.
Credit Derivatives and Their Potential to Synthesize Riskless Assets
2002, Journal of Fixed Income, Volume 12, Number 3, pp. 6-16

Boyle, Phelim P.; Tian, WeiDong
Quadratic Interest Rate Models as Approximations
1999, Journal of Fixed Income, Volume 9, Number 3, pp. 69-81

Brooks, Chris; Clare, Andrew D.; Persand, Gita
An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements
2002, Journal of Risk Finance, Volume 3, Number 2, pp. 22 - 33

Brooks, Chris; Clare, Andrew D.; Persand, Gita
A Note on Estimating Market-based Minimum Capital Risk Requirements: A Multivariate GARCH Approach
2002, Social Science Research Network Electronic Library

Brooks, Robert
The Cost of Tax Policy Uncertainty: Evidence from the Municipal Swap Market
2002, Journal of Fixed Income, Volume 12, Number 3, pp. 71-87

Brown, David T.
The Determinants of Expected Returns on Mortgaged-Backed Securities: An Empirical Analysis of Option-Adjusted Spreads
1999, Journal of Fixed Income, Volume 9, Number 2, pp. 8-19

Brown, David T.
An Empirical Analysis of Credit Spread Innovations
2001, Journal of Fixed Income, Volume 11, Number 2, pp. 9-27

Brown, Gregory; Toft, Klaus Bjerre
How Firms should Hedge
2002, Review of Financial Studies, Volume 15, pp. 1283 - 1324

Brown, Rob ; In, Francis ; Fang, Victor
Modeling the Determinants of Swap Spreads
2002, Journal of Fixed Income, Volume 12, Number 1, pp. 29-40

Browne, Sid
The Risk and Rewards of Minimizing Shortfall Probability
1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 76 - 85

Brummelhuis, Raymond; Cordoba, Antonio; Quintanilla, Maite
Principal Component Value-at-Risk
2002, Journal of Mathematical Finance, Volume 12, pp. 23 - 43

Brusilovskiy, Pavel; Tilman, Leo M.
Measuring Predictive Accuracy of Value-at-Risk Models: Issues, Paradigms, and Directions
2001, Journal of Risk Finance, Volume 2, Number 3, pp. 83 - 91

Bucay, Nisso; Rosen, Dan
Applying Portfolio Credit Risk Models to Retail Portfolios
2001, Journal of Risk Finance, Volume 2, Number 3, pp. 35 - 61

Buetow, Gerald W., Jr.; Johnson, Robert R.; Runkle, David E.
The Inconsistency of Return-Based Style Analysis
2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 61 - 77

Buraschi, Andrea; Menini, Davide
Liquidity Risk and Specialness
2002, Journal of Financial Economics

Cakici, Nusret ; Foster, Kevin R.
Value at Risk for Interest Rate-Dependent Securities
2003, Journal of Fixed Income, Volume 12, Number 4, pp. 81-96

Calandro, Jr., Joseph Crootof, Sarah
Distressed Underwriting: A Vulture Investing Approach to Risk
2006, Journal of Alternative Investments, Volume Fall

Cantor, Richard ; Hu, Jian
Structured Finance Rating Transitions: 1983-2002
2003, Journal of Fixed Income, Volume 13, Number 1, pp. 7-27

Cantor, Richard; Rouyer, Stanislas
Another Perspective on Credit Risk Transfer and Asset Securitization
2000, Journal of Risk Finance, Volume 1, Number 2, pp. 37 - 48

Castille, Charles; Pirone, John; Waring, Barton;Whitney, Duane
Optimizing Manager Structure and Budgeting Manager Risk
2000, Journal of Portfolio Management, Volume 26, Number 3, pp. 90 - 104

Chadravarty, Sugato
Trading Costs in Three U.S. Bond Markets
2003, Journal of Fixed Income, Volume 13, Number 1, pp. 39-48

Chambers, Donald R.; Zhang, Jun ; Nawalkha, Sanjay K.
The Pricing and Duration of Floaters and Interest Rate Swaps with Embedded Options
1999, Journal of Alternative Investments, Volume 1, Number 4, pp. 58-70

Chance, Don M.
Research Trends in Derivatives and Risk Management Since Black-Scholes
1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 35-46

Chande, Tushar S.
Controlling Risk And Managing Investor Expectations By Modeling The Dynamics Of Looses In Hedge Funds
1999, Derivatives Quarterly, Volume 5, Number 3, pp. 52 - 58

Chatrath, Arjun; Liang, Youguo; McIntosh, Willard
Can We Hedge REIT Returns?
1999, Real Estate Finance, Volume 15, Number 4, pp. 78 - 84

Chaudhary, Sharad; Hayre, Lakhbir S.; Young, Robert A.
Anatomy of Prepayments
2000, Journal of Fixed Income, Volume 10, Number 1, pp. 19 - 49

Chen, Andrew H.; Kang, Joseph Choongseok
Evidence on Theta and Convexity in Treasury Returns
2002, Journal of Fixed Income, Volume 12, Number 1, pp. 41-50

Chow, George; Kritzman, Mark
Value at Risk for Portfolios with Short Positions
2002, Journal of Portfolio Management, Volume 28, Number 3, pp. 73 - 81

Chow, George; Kritzman, Mark; Van Royen, Anne-Sophie
Risk Budgets: Comment
2001, Journal of Portfolio Management, Volume 27, Number 4, pp. 109 - 111

Christopherson, Jon A.; Ferson, Wayne E.; Turner, Andrew L.
Performance Evaluation Using Conditional Alphas and Betas
1999, Journal of Portfolio Management, Volume 26, Number 1, pp. 59 - 72

Chung, Sam Y.
Portfolio Risk Measurement: A Review of Value at Risk
1999, Journal of Alternative Investments, Volume 2, Number 1, pp. 34 - 42

Clare, Andrew ; Skinner, Frank S.; Ioannides, Michalis
Hedging Corporate Bonds with Stock Index Futures: A Word of Caution
2000, Journal of Fixed Income, Volume 10, Number 2, pp. 25-34

Clare, Andrew D.; Oozeer, M. Currim; Preistley, Richard ; Thomas, Stephen H.
Modeling the Risk Premium on Eurodollar Bonds
2000, Journal of Fixed Income, Volume 9, Number 4, pp. 61-74

Clarke, Sally
Hedge Fund Risk and VaR Uncertainty
2002, Albourne Village

Collins, Bruce M.; Fabozzi, Frank J.
Derivatives and Risk Management
1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 16 - 27

Collins, Bruce M.; Fabozzi, Frank J.
Derivatives and Risk Management
1999, Journal of Portfolio Management, Volume 25, Number 5, pp. 16-27

Corcoran, Patrick J.; Iwai, Yuriko
CMBS Loan Defaults
2002, Journal of Fixed Income, Volume 12, Number 3, pp. 52-59

Costello, James M.; Hopkins, Robert E.; Sivitanides, Petros S.; Southard, Jon A.; Torto, Raymond G.; Wheaton, William C.
Real Estate Risk: A Forward-Looking Approach
2001, Real Estate Finance, Volume 18, Number 3, pp. 20 - 28

Culp, Christopher L.
Ex Ante Versus Ex Post RAROC
2000, Derivatives Quarterly, Volume 7, Number 1, pp. 16 - 25

D'Vari, Ron ; Sosa, Juan C
Value at Risk Estimates for Brady Bond Portfolios
2000, Journal of Fixed Income, Volume 10, Number 3, pp. 7-23

D'Vari, Ron; Sosa, Juan C
Value at Risk Estimates for Brady Bond Portfolios
2000, Journal of Fixed Income, Volume 10, Number 3, pp. 7 - 23

Dahiya S.; Saunders A.; Srinivasan A.
Financial Distress and Bank Lending Relationships
2003, Journal of Finance, Volume 58, Number 1, pp. 375-399

Dalvi, Manoj; Massaro, Vincent G.
Liquidity Risk For Firms And Financial Markets
1999, Derivatives Quarterly, Volume 6, Number 2, pp. 49 - 55

Das, Sanjiv R.; Fong, Gifford ; Geng, Gary
Impact of Correlated Default Risk on Credit Portfolios
2001, Journal of Fixed Income, Volume 11, Number 2, pp. 9-19

Das, Sanjiv R.; Geng, Gary ; Fan, Rong
Bayesian Migration in Credit Ratings Based on Probabilities of Default
2002, Journal of Fixed Income, Volume 12, Number 3, pp. 17-23

de Roon F.A.; Nijman T.E.; Veld C.
Hedging Pressure Effects in Futures Markets
2000, Journal of Finance, Volume 55, Number 3, pp. 1437

De Vassal, Vladimir
Risk of Multiple-Stock Portfolios
2001, Journal of Portfolio Management, Volume 27, Number 2, pp. 32-39

Delianedis, Gordon ; Lagnado, Ronald
Recovery Assumptions in the Valuation of Credit Derivatives
2002, Journal of Fixed Income, Volume 11, Number 4, pp. 20-30

Dembo, Ron S.
Mark-to-Future: A new Risk Measurement Approach
2000, Derivatives Quarterly, Volume 6, Number 4, pp. 42 - 49

Dennis, Patrick; Mayhew, Stewart
Risk-Neutral Skewness: Evidence from Stock Options
2002, Journal of Financial and Quantitative Analysis, Volume 37, Number 3

Diebold, Francis X.; Schuermann, Til; Stroughair, John D.
Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
2000, Journal of Risk Finance, Volume 1, Number 2, pp. 30 - 36

Dimson, Elroy; Jackson, Andrew
Performance Evaluation: High-Frequency Performance Monitoring
2001, Journal of Portfolio Management, Volume 28, Number 1, pp. 33 - 43

Dolan, Charles P.
Forecasting the Yield Curve Shape: Evidence in Global Markets
1999, Journal of Fixed Income, Volume 9, Number 1, pp. 92-99

Dowd, Kevin
Assessing VaR Accuracy
2000, Derivatives Quarterly, Volume 6, Number 3, pp. 61 - 63

Dowd, Kevin
Estimating the Failure Probabilities of Financial Institutions: A Simple Approach
2001, Journal of Risk Finance, Volume 2, Number 4, pp. 33 - 38

Dowd, Kevin
Estimating Value at Risk: A Subjective Approach
2000, Journal of Risk Finance, Volume 1, Number 4, pp. 43 - 46

Dowd, Kevin
Estimating VaR With Order Statistics
2001, Journal of Derivatives, Volume 8, Number 3, pp. 23 - 31

Dowd, Kevin
A Value at Risk Approach to Risk-Return Analysis
1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 60 - 67

Duarte Jr., Antonio Marcos; Rajagopal, Ram
A Scenario-Based Approach to Optimal Currency Overlay
1999, Journal of Portfolio Management, Volume 25, Number 4, pp. 51-59

Duffee G.R.
Term Premia and Interest Rate Forecasts in Affine Models
2002, Journal of Finance, Volume 57, Number 1, pp. 405-443

Duffie D.; Pedersen L.H.; Singleton K.J.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
2003, Journal of Finance, Volume 58, Number 1, pp. 119-159

Dynkin, Lev ; Greenfield, Yuri ; Joneja, Dev
The Lehman Brothers Swap Indexes
2002, Journal of Fixed Income, Volume 12, Number 2, pp. 28-42