Journal of Risk Management in Financial Institutions

Table of Contents

Editorial
Michael Ong, University of Chicago  

Opinion pieces         
Risk distortions being created by liquidity glut: Watchpoint for structured note backers
Richard Wise, JP Morgan Chase         

The subprime fiasco: Derivatives and ratings
Christopher Whalen, Institutional Risk Analytics

Technical note
Estimating recovery discount rates: A methodological note
Paul Kupiec, FDIC, USA

Practitioner pieces
Operational risk: The direct measurement of exposure and risk in bank operations
Peter Hughes, ARC Best Practices

Creating a risk appetite framework for insurance decision-making
Lukas Ziewer & Anthony Bice, Oliver Wyman

Academic pieces
Retail loans & Basel II: Using portfolio segmentation to reduce capital requirements
Daniel Kaltofen, Stephan Paul & Stefan Stein, University of Bochum

Longevity risk - A new global market?
Robert Hudson, University of Leeds

Analytic models of the ROC curve: Applications to credit rating model validation
Steve Satchell & Wei Xia, University of Cambridge

EU legal and regulatory update: Operational risk and the legal landscape
Joanna Gray, University of Newcastle           

US legal and regulatory update: A brief review of the interagency statement on sound practices concerning elevated risk complex structured finance activities
Josh Cohn, Allen & Overy

Book review
The Credit Default Swap Basis
Reviewed by Jose Lopez, Federal Reserve Bank of San Francisco