Advances in Risk Management

A CEPR/ESRC/IFR Finance Network workshop on ‘Advances in Risk Management’ was held in London on 8 October 1998. The workshop was organized by Kevin Dowd (University of Sheffield) and William Perraudin (Birkbeck College, London, Bank of England and CEPR). The programme consisted of the following papers:

‘Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques’
Subu Venkataraman (Morgan Stanley)

‘Non-Linear Value-at-Risk’
Mark Britten Jones (London Business School) and
Stephen Schaefer (London Business School)

‘Ratings Versus Equity-Based Credit Risk Modelling: An Empirical Analysis’
Pamela Nickell (Bank of England),
William Perraudin (Birkbeck College, London, Bank of England and CEPR) and
Simone Varotto (Bank of England) 

‘Financial Risk Management, the Sharpe Rule, and VAR: An Integrated Approach’
Kevin Dowd (University of Sheffield)