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; EconBiz; ABI Research; and Cabell’s Directory
Impact Factor: 0.627
5-Year Impact Factor: 0.611
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
This paper proposes a method to extract deposit lifetime data from individual account transactions.
The aim of this paper is twofold: (i) to introduce two recursive estimation algorithms suitable for the EWMA process that are applicable for routine volatility predictions, and (ii) to investigate their prediction ability by comparing them with other…
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.
In this paper, the authors develop a computational method to find a unique, corrected Cornish–Fisher distribution efficiently for a wide range of skewnesses and kurtoses.
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
A generic stress testing framework with related economic shocks and possible regulatory intervention
In this paper, the authors develop and demonstrate a universal framework for supervisory stress tests of financial institutions that considers the probable dependencies among macroeconomic shocks and possible regulatory intervention.
Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach
In this paper, the authors propose a vine copula model based on a bivariate extended skew-t distribution and derive its corresponding multivariate tail dependence function.
Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression
In this paper, the authors using a data set composed of five Japanese regional banks, propose an loss given default estimation model using a two-stage model, classification tree-based boosting and support vector regression (SVR).
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
This paper presents the constraints embedded in the the profit-and-loss-attribution test and explores a possible alternative framework.
This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets.
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
In this paper, the authors provide theoretical and empirical evidence of the contribution of second-order risk to realized volatility for alternative risk parity strategies.
This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index.
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model.
In this paper, the author uses a unique data set, containing the revealed risk preferences of 9235 subjects, elicited with four different methods, to estimate latent risk preferences.
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
In this paper, the authors develop an early warning system for forecasting a financial crisis of the magnitude of the 2007–8 crisis for the European Union (the EU14).
This paper proposes a general framework for constructing bank risk data sets, which provides an integrated process from data sources to comprehensive risk data sets.