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
This issue focuses on Cross-border extension, systemic risk and the incorporation of the time dimension into risk assessment.
The papers in this issue focus on modeling dependence via copulas and on identifying independent risk factors for better portfolio risk attribution. An extension of a classical portfolio selection problem and an approach to compare mutual funds are also...
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
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 papers published in this special issue investigate a variety of theoretical and empirical issues regarding risk sharing in Islamic finance.
This issue focuses on identifying specific sources of risk in a portfolio, the factor-based estimation of risk measures, and the impact of model risk on capital reserves.