The issue’s first paper looks at methodologies to measure spillover risks in European sovereign bond markets in the period 2004-15. Our second paper investigates European bond markets. Our final paper in this issue offers a promising new avenue of investigation...
In this issue of The Journal of Financial Market Infrastructures we have two papers on large-value payment systems and two papers on central counterparties.
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections.
The papers in this issue cover a diverse range of applications and numerical techniques.
This issue of The Journal of Risk covers historical simulation and extreme value theory, as well as the assessment of bond portfolios with missing credit ratings and a behavioral perspective on option risk management.
The issue features three papers covering topics related to financial stability, group lending and financial markets stress.
This September issue includes: an Australian regulatory perspective on the over-the-counter landscape; an investigation into a less-cash society; central counterparties; and an evaluation of the Korean repo market
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of credit default swap premiums.
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
The papers published in this special issue investigate a variety of theoretical and empirical issues regarding risk sharing in Islamic finance.
This issue includes measures of bond systematic risk, a behavioural credit-scoring model, and Monte Carlo results for the performance of MM, ML and OLS estimators.
This issue offers detailed insights into potential market inefficiencies in power and gas trading. The key issues of practical concern relate to the materiality of the inefficiencies, their sustainability and their determinants.