Statistics & Risk Modeling

Fair estimation of capital risk allocation pp. 1-24: Bielecki Tomasz R., Cialenco Igor, Pitera Marcin and Schmidt Thorsten
XVA metrics for CCP optimization pp. 25-53: Claudio Albanese, Armenti Yannick and Crépey Stéphane
Arbitrage-free interpolation of call option prices pp. 55-78: Bender Christian and Thiel Matthias

Conditional excess risk measures and multivariate regular variation pp. 1-23: Das Bikramjit and Fasen-Hartmann Vicky
Multivariate risk measures in the non-convex setting pp. 25-35: Haier Andreas and Molchanov Ilya
Optimal retirement planning under partial information pp. 37-55: Bäuerle Nicole and Chen An
On corrected phase-type approximations of the time value of ruin with heavy tails pp. 57-75: Geiger Daniel J. and Adekpedjou Akim

Risk related brain regions detection and individual risk classification with 3D image FPCA pp. 89-110: Chen Ying, Wolfgang Härdle, He Qiang and Majer Piotr
Extremes for multivariate expectiles pp. 111-140: Maume-Deschamps Véronique, Didier Rulliere and Said Khalil
Semiparametric efficient adaptive estimation of the GJR-GARCH model pp. 141-160: Ciccarelli Nicola

Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading pp. 1-21: Redeker Imke and Wunderlich Ralf
On risk measuring in the variance-gamma model pp. 23-33: Ivanov Roman V.
Distortion risk measures, ROC curves, and distortion divergence pp. 35-50: Johannes Schumacher
EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies pp. 51-72: Damian Camilla, Eksi Zehra and Frey Rüdiger
Optimal expected utility risk measures pp. 73-87: Geissel Sebastian, Sass Jörn and Seifried Frank Thomas

Special Issue: Monitoring Systemic Risk: Data, Models and Metrics pp. 89-89: Cont Rama and Michael Gordy
Network analysis and systemic FX settlement risk pp. 91-112: León-Janampa José Henry
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks pp. 113-139: Feinstein Zachary and El-Masri Fatena
On the effect of heterogeneity on flocking behavior and systemic risk pp. 141-155: Fang Fei, Sun Yiwei and Spiliopoulos Konstantinos

A double clustering algorithm for financial time series based on extreme events pp. 1-12: Giovanni De Luca and Zuccolotto Paola
Improved algorithms for computing worst Value-at-Risk pp. 13-31: Hofert Marius, Memartoluie Amir, Saunders David and Wirjanto Tony
Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price pp. 33-53: Kokoszka Piotr, Hong Miao and Zheng Ben
Company rating with support vector machines pp. 55-67: Moro Russ A., Wolfgang Härdle and Dorothea Schäfer
Loan pricing under estimation risk pp. 69-87: Neuberg Richard and Hannah Lauren

Verification of internal risk measure estimates pp. 67-93: Davis Mark H. A.
How to measure interconnectedness between banks, insurers and financial conglomerates pp. 95-116: Hauton Gaël and Héam Jean-Cyprien
Leveraging the network: A stress-test framework based on DebtRank pp. 117-138: Stefano Battiston, Caldarelli Guido, D’Errico Marco and Gurciullo Stefano
The topology of overlapping portfolio networks pp. 139-155: Guo Weilong, Minca Andreea and Wang Li

Implied basket correlation dynamics pp. 1-20: Härdle Wolfgang Karl and Silyakova Elena
Change detection in the Cox–Ingersoll–Ross model pp. 21-40: Pap Gyula and Szabó Tamás T.
Asymptotically stable dynamic risk assessments pp. 41-50: Eisele Karl-Theodor and Kupper Michael
Scenario aggregation method for portfolio expectile optimization pp. 51-65: Jakobsons Edgars