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 contains four technical papers. Two of which deal with an analysis of the SMA, one paper deals with data and another tackles statistical issues around the quantification of operational risk.
This special issue of The Journal of Financial Market Infrastructures on collateral provides a collection of papers that are not fully in sync with traditional thinking in policy and academic circles, or are under-researched.