Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
About this journal
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
Journal Metrics:
Impact Factor: 0.627
5-Year Impact Factor: 0.611
CiteScore: 0.29
Latest papers
Modeling nonmaturing deposits: a framework for interest and liquidity risk management
This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.
Time-varying tail dependence networks of financial institutions
In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.
Reinvestigating international crude oil market risk spillovers
This paper develops a copula-GARCH-MIDAS model to estimate the joint probability distribution of multivariate variables, and then derives CoVaR-type risk measures.
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from high-frequency data.
The impact of compounding on bond pricing with alternative reference rates
This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a stochastic volatility jump-diffusion process.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
This paper proposes an extension of the classical CARR model, the ACARR-MIDAS model, to model volatility and capture the volatility asymmetry as well as volatility persistence.
An examination of the tail contribution to distortion risk measures
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
Performance measures adjusted for the risk situation (PARS)
This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual situation including risk preferences.
Correlated idiosyncratic volatility shocks
To capture the commonality in idiosyncratic volatility, the authors propose a novel multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model called dynamic factor correlation (DFC).
A numerical approach to the risk capital allocation problem
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
Procyclicality control in risk-based margin models
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
Option pricing using high-frequency futures prices
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
A general framework for the identification and categorization of risks: an application to the context of financial markets
This paper is, to the best of the authors' knowledge, the first to develop an algorithm-based and generally applicable framework that generates an extensive and integrated identification and categorization scheme of certain risks by using text mining and…
Risk measures: a generalization from the univariate to the matrix-variate
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Optimal foreign exchange hedge tenor with liquidity risk
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
When we adopt the parameters in the BCBS standards to calculate the delta risk charge, anomalies in the risk charges for the same risk exposure are found under different approaches and under different reporting currencies. The anomalies increase when the…
Forecasting Bitcoin returns: is there a role for the US–China trade war?
In this paper, the authors extend the related literature by examining whether the information on the US–China trade war can be used to forecast the future path of Bitcoin returns, controlling for various explanatory variables.
