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
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; ABI Research and Cabell’s Directory
Impact Factor: 0.388
5-Year Impact Factor: 0.525
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
In this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing
This paper illustrates how the transmission of systemic risk from shadow banking to the regulated banking sector can be modeled using partial least squares structural equation modeling in an effort to help regulators better monitor and manage contagion.
This paper introduces the concept of risk-averse dynamic arbitrage using a general time-consistent dynamic risk measure and a risk-aversion threshold level.
In this paper, the authors focus on seven stock market indexes: two US, three European, one emerging and one Japanese. They select different pairs of markets and, with the help of wavelets, decompose these series at different timescales.
This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…
The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy
This paper extends a technique devised by Saroka and Rebonato to “optimally” deform a yield curve in order to deal with a common and practically relevant class of optimization problems subject to linear constraints.
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Based on risk-value models this paper introduces a multi-period approach to the valuation of streams of risky cash flows.
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…
This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. It applies the model to single cashflows, loans, bonds and derivatives. In addition, the calibration to London Interbank Offered Rate basis spreads is…
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
This paper employs the quantile regression model to examine Taiwanese companies and considers factors that researchers have identified which may influence orientation divergences for robustness testing.
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.
The author presents a systematic review of the chronological evolution of risk management, in tandem with financial innovation and methodological advances in derivatives pricing.
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.