The recent publication by the Basel Committee of CP2.5, the working paper on Operational Risk Capital Charges, has shed new light on the methods that will be proposed for the measurement of operational risks in the Basel II Accord. This paper examines the foundations of the Internal Measurement...

Hedge funds exhibit a high rate of attrition that has increased substantially over time. Using data over the period 1994-2001, we show that lack of size, lack of performance and an increasingly aggressive attitude of old and new fund managers alike are the main factors behind this. Although...

It is a common problem in risk management today that risk measures and pricing models are being applied to a very large set of scenarios based on movements in all possible risk factors. The dimensions are so large that the computations become extremely slow and cumbersome, so it is quite common...

This paper examines the short-term signalling power of UK open market share repurchases between 1999 and 2004. The 5-day and 11-day abnormal returns centred on the announcement date are statistically significant at 1.13% and 1.21% respectively. However, there is no evidence to support any...

Several principal component models of volatility smiles and skews have been based on daily changes in implied volatilities, by strike and/or by moneyness. Derman and Kamal (1997) analyze S&P500 and Nikkei 225 index options where the daily change in the volatility surface is specified by delta...