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
The authors of this paper formalize a methodology to manage short-term FX risk.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
This paper considers the portfolio optimization problem, with conditional value-at-risk as the objective.
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
This paper characterizes continuous-time risk-taking.
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
This paper puts forward two strategies for improving Historical Simulation in weak areas.
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of value-at-risk (VaR) in three incomegenerating channels:...
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
This paper investigates the risk engendered by maturity mismatches.
Nonmaturity deposits and banks’ exposure to interest rate risk: issues arising from the Basel regulatory framework
The authors of this paper address the shortcomings of a major assumption in the Basel accords regarding interest-risk exposure and propose two models to incorporate optionality features that are often ignored.