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
Backtesting market risk models in a standard normality framework
Quality control of risk measures: backtesting VAR models
A review of backtesting and backtesting procedures
Forecasting credit event frequency – empirical evidence for West German firms
Systematic credit cycle risk of financial collaterals: modeling and evidence
Achieving decorrelation and speed simultaneously in the Libor market model
Optimal portfolios from ordering information
Determinants of operational risk reporting in the banking industry
GARCH-type volatility models based on Brownian inverse Gaussian intra-day return processes
Alternative risk measures for alternative investments
Minimizing tracking error while restricting the number of assets
An intensity-based non-parametric default model for residential mortgage portfolios
Operational risk: analytical results when high-severity losses follow a generalized Pareto distribution (GPD) – a note
Estimation risk in financial risk management: a correction
A simple probabilistic approach to the pricing of credit default swap covenants
Using contingent-claims analysis to value opportunities lost due to moral hazard risk
A data-driven optimization heuristic for downside risk minimization
The use of multiple risk management strategies: evidence from the natural gas industry
Risk estimation using the multivariate normal inverse Gaussian distribution
Testing hedge effectiveness for option positions