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:
Journal Impact Factor: 0.915
5-Year Impact Factor: 0.756
CiteScore: 1.2
Latest papers
Evaluating value-at-risk measures in the presence of long memory conditional volatility
Instantaneous caps and floors on the short-rate
On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares
Value-at-risk and extreme value distributions for financial returns
Corporate risk management and speculative motives
A perturbative formula to price barrier options with time-dependent parameters in the Black and Scholes world
Optimal early withdrawal and valuation of finite-horizon fund protection options
Integrating multi-market risk models
Capturing fat-tail risk in exchange rate returns using SU curves: a comparison with the normal mixture and skewed Student distributions
Expansion methods applied to asset return distributions
Optimal early withdrawal and valuation of finite-horizon fund protection options
A canonical optimal stopping problem for American options under a double exponential jump-diffusion model
Well ARMed and FiRM: diversification of mortgage loans for homebuyers
A perturbative formula to price barrier options with time dependent parameters in the Black and Scholes world
How much is a model upgrade worth?
Valuation and hedging of weather derivatives on monthly average temperature
A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs
Algorithms for handling CVaR constraints in dynamic stochastic programming
Efficient execution in the secondary mortgage market: a stochastic optimization model using CVaR constraints
Time-scaling of value-at-risk in GARCH(1,1) and AR(1)–GARCH(1,1) processes