Modelling and managing financial risk: An overview

A number of papers of the special issue of Mathematics and Computers in Simulation presented an overview of modeling and managing financial risk. The first paper investigated the largest risk sector in practice, such as credit risk by 'Modeling the Credit Risk for Portfolios of Consumer Loans: Analogies with Corporate Loan Models'. The new Basel accord highlighted the need to develop appropriate models of the credit risk in portfolios of consumer loans. The paper discussed the way equivalent approaches were used to develop such models in consumer lending. The second paper of the special issue provided a 'Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market'. Several alternative ACD models were compared using a sample of data for three major companies that were traded on the Australian Stock Exchange.