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
The impact of corporate social and environmental performance on credit rating prediction: North America versus Europe
The authors quantify the extent to which the quality of credit rating predictions improves by integrating measures of corporate social performance (CSP) in an established credit risk model. Their analysis provides comprehensive evidence of the…
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
Economic policy uncertainty, investors’ attention and US real estate investment trusts’ herding behaviors
Using a quantile regression model, this study examines economic policy uncertainty and investors’ attention for policy risk on US real estate investment trusts’ (REITs’) herding behaviors.
The analysis in this paper reveals that additional fundamental risk gets transferred along supply chains, and that suppliers are exposed to additional fundamental risk that is not captured by their market beta. Suppliers are therefore exposed to…
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model
This paper proposes a multiplicative component CARR (MCCARR) model to capture the "long-memory" effect in volatility.
In this paper, we explore the procyclicality of initial margin requirements based on VaR volatility models.We suggest procyclicality can be reduced using a three-regime model rather than using ad hoc tools.
This paper proposes a new econometric model for the estimation of optimal hedge ratios (HRs): the Kalman filter error-correction model (KF–ECM).
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
In this paper, we analyze the consequences of shareholders’ limited liability for the risk- and value-based investment decisions made by a nonlife insurer under solvency constraints.
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
This paper develops a method to identify quantitative risks in financial market infrastructures (FMIs) that is inspired by the Principles for Financial Market Infrastructures.
This paper strives to analyze hedging strategies between Brent oil and six other het- erogeneous assets – American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE- ETFs…
By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network position of a firm on extreme price movement.
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China
Based on a broad sample of Chinese listed firms for the period 2001–10, this study investigates the effect of stock price crash risk exposure on the cost of equity capital and uses the split share structure reform as an exogenous shock to test whether…
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
This paper investigates the systemic risk of China’s banking sector via network analysis and differential DebtRank from 2007 to 2016.
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.