Journal of Risk
ISSN:
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
- Systemic risk
- Risk management issues related to fintech and cryptocurrencies
- New methodologies for artificial intelligence and machine learning in financial risk management
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; EconBiz; ABI Research; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.5
5-Year Impact Factor: 0.5
CiteScore: 0.9
Latest papers
Kernel quantile based estimation of expected shortfall
Stochastic kriging for efficient nested simulation of expected shortfall
On the aggregation of risk
Dynamic asset allocation with jump risk
Measuring concentration risk for regulatory purposes
Hedging: scaling and the investor horizon
Measurement of large hedgers and large speculators' risk in major US futures markets
Research Papers
Testing hedges under the standard tranched credit pricing model
Stochastic programming and stable distributions in asset-liability management
Yield curve risk management: adjusting principal component analysis for model errors
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options
Competitive equilibrium in insurance markets under adverse selection and non-expected utility
Firm specific option risk and implications for asset pricing
Pricing and performance of mutual funds: lookback versus interest rate guarantees
Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation
Measure of financial risk using conditional extreme value copulas with EVT margins
Research Papers
The convergence of binomial trees for pricing the American put
The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited
Research Papers
Risk premium and non-smooth utility
The bond-stock yield differential as a risk indicator in financial markets
