Risk management information systems are designed to overcome the problem of aggregating data across diverse trading units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the design of both a risk manageme...
Barone-Adesi, G. and R.E. Whaley (1987). Efficient analytic approximation of American option values. Journal of Finance 42 (June): 301-320.
Bernardo, Antonio E. and Bradford Cornell (1997). The valuation of complex derivatives by major investment firms: Empirical evidence. Journal of Finance, 52 (June).
Carverhill, Andrew and Les Clewlow (1994). Quicker on the curves. Risk (May).
Cox, J.C., S.A. Ross and M. Rubenstein (1979). Option pricing: a simplified approach. Journal of Financial Economics 7 (October): 229-263.
Group of Thirty (1993). Derivatives: Practices and principles. Washington, DC: Group of Thirty.
Lawrence, David (1995). Aggregating credit exposures: The simulation approach. In Derivative Credit Risk. London: Risk Publications.
Picoult, Evan (1996). Measuring pre-settlement credit risk on a portfolio basis. In Risk Measurement and Systemic Risk. Proceedings of a Joint Central Bank Research Conference. Washington, DC: Board of Governors of the Federal Reserve System.
Pierides, Yiannos (1996). Legal disputes about complex interest rate derivatives. Journal of Portfolio Management (Summer): 114-118.
Press, William H. et al (1992). Numerical recipes in C: The art of scientific computing. Second edition. Cambridge University Press.
Pritsker, Matthew (1997). Evaluating value at risk methodologies: accuracy versus computational time. Journal of Financial Services Research, forthcoming.