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 Impact Factor: 0.915
5-Year Impact Factor: 0.756
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network
The authors use a LASSO-VAR method and generalized variance decomposition to measure the systemic risk contagion effect of Chinese-listed banks.
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans
The authors assess the impacts of financial and macroeconomic factors on financial stability in emerging economies, using Turkey's banking sector in the period 2005 Q1 to 2020 Q3 as their example.
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
The author uses the marginal expected shortfall method alongside the Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model and the CoVaR model to investigate risk spillover between the crude oil…
The authors identify a regime-switching Fréchet model which can be used to identify the behavior of extreme values in financial series.
Using new measure of systemic fragility, the author ranks euro area banks and sovereigns and according to their systemic risk contribution.
The authors introduce and apply new semiparametric GARCH models with long memory to obtain rolling one-step ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk assets.
The authors put forward an explainable machine learning model predicting credit default using a real-world data set provided by a Norwegian bank.
The authors propose four new nonparametric estimators of static CoVar and compare their performance in simulation studies.
This paper investigates the impact of financial stress on the predictability of the realized volatility of five stock markets
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
The authors propose a two-component EGARCH model for the modeling of asset returns and realized measures of volatility.
The authors shrink correlation and volatility separately and evaluate the predictive power of this approach, finding economically and statistically significant gains from applying more shrinkage to correlations than to volatilities.
The authors use EMU data from the period between 2000 to 2020 to forecast equity risk premium and investigate Classification and Regression Trees.
The authors suggest an innovative method based in econophysics that provides early warning signs for major declines in the S&P 500 Index
The authors use a measure that captures the expected evolution of risk and generate results supportive of the concept that there are multiple facets within volatility risk that are priced individually.
The author presents a new, computationally simple framework for quantifying and detecting changes in established companies' corporate credit quality.
This paper analyses the correlations between returns and HVs in the short and long terms while developing a risk measure designed to contain the impacts of prudence and temperance on risk aversion.
This paper analyzes the realized exit cashflows of individual portfolio companies in a joint modeling framework that describes both the exit timing and the exit performance.