This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk.
The Journal of Risk is particularly interested in papers on the following topics:
- Risk management regulations and their implications
- Risk capital allocation and risk budgeting
- Efficient evaluation of risk measures under increasingly complex and realistic model assumptions
- Impact of risk measurement on portfolio allocation
- Theoretical development of alternative risk measures
- Hedging (linear and non-linear) under alternative risk measures
- Financial market model risk
- Estimation of volatility and unanticipated jumps
- Capital allocation
In this paper, the authors investigate the diversification benefits of iShares and their rivals (CECFs and American depositary receipts) between April 1996 and December 2004.
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
This paper analyzes how the yield of government securities may be managed in order to save costs in the face of the risk of a liquidity shock.
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
This paper analyzes five composite stock indexes to determine the different behaviors of scaling across markets.
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
In this paper, the authors examine the relationship between capital allocation problems and compositional data, and show that capital allocation principles can be interpreted as compositions.
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
A fuzzy data envelopment analysis model for evaluating the efficiency of socially responsible and conventional mutual funds
The authors of this paper use data envelopment analysis (DEA) to assess the relative efficiency of a sample of US equity mutual funds.
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
This paper explores how a defined-contribution pension fund optimally distributes wealth between a defaultable bond, a stock and a bank account, given that a salary is a stochastic process.
The author of this paper presents a general and path-consistent wrong-way risk (WWR) model that does not require simulation of credit and market variables simultaneously.
This paper investigates the extent to which the nonstationarity of financial time series affects both the estimation and the modeling of empirical copulas.
This paper shows how redemption risks of mutual funds can be modeled using the peaks-over-threshold approach from extreme value theory.
The valuation of contingent convertible catastrophe debt under simple solvency and liquidity covenants
This paper studies a new write-off debt instrument (called CoCoCAT bond) whose writeoff is triggered by solvency and event-driven covenants.
This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.
This paper studies the use of finite difference methods for estimating risk contributions.