Risk cubes or price risk and ratings (Part II)

Journal of Risk Finance

Volumn 1, Issue 1, 1999, Pages 71-86

  Lane, Morton N ^a   Movchan, Oleg Y ^b  

^a Division of Gerling Global Financial Products   (United States)

^b Asset allocation currency division of UBS Brinson   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 43549093343     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/eb022938     Document Type: Article

References (3)

1. “Price, Risk and Ratings for Insurance-Linked Notes: Evaluating their Position in Your Portfolio," Sedgwick Lane Financial Trade Notes, May 5, 1998.
2. The principal securitizations are listed in Exhibits 3 and 4. Two recent securities involving options (Reliance III and Allianz I) are not included in this analysis.
3. “Price, Risk and Ratings for Insurance-Linked Notes: Evaluating their Position in Your Portfolio," Sedgwick Lane Financial Trade Notes, May 5, 1998.