Journal of Risk Finance

1999 - 2024

Current editor(s): Nawazish Mirza

From Emerald Group Publishing Limited
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Volume 21, issue 5, 2020

Blockchain systems for trade clearing pp. 469-492

Wei-Tek Tsai, Yong Luo, Enyan Deng, Jing Zhao, Xiaoqiang Ding, Jie Li and Bo Yuan

Forecasting multivariate VaR and ES using MC-GARCH-Copula model pp. 493-516

Hemant Kumar Badaye and Jason Narsoo

An augmented macroeconomic linear factor model of South African industrial sector returns pp. 517-541

Jan Jakub Szczygielski, Leon Brümmer and Hendrik Petrus Wolmarans

Valuation of initial margin using bootstrap method pp. 543-557

Modisane Bennett Seitshiro and Hopolang Phillip Mashele

Loan fair values and the financial crisis pp. 559-576

Niranjan Chipalkatti, Massimo DiPierro, Carl Luft and John Plamondon

Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment pp. 577-620

Savva Shanaev, Nikita Shimkus, Binam Ghimire and Satish Sharma

US policy uncertainty and stock returns: evidence in the US and its spillovers to the European Union, China and Japan pp. 621-657

Thomas C. Chiang

Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators? pp. 659-678

Frederik Kunze, Tobias Basse, Miguel Rodriguez Gonzalez and Günter Vornholz

Volume 21, issue 4, 2020

Enterprise risk management and Solvency II: the system of governance and the Own Risk and Solvency Assessment pp. 317-332

Pablo Durán Santomil and Luis Otero González

How blockchain technology can monetize new music ventures: an examination of new business models pp. 333-353

Robyn Owen and Marcus O'Dair

A Monte Carlo evaluation of non-parametric estimators of expected shortfall pp. 355-397

Julia S. Mehlitz and Benjamin R. Auer

CDS-based implied probability of default estimation pp. 399-422

Amira Abid, Fathi Abid and Bilel Kaffel

Forecasting the macro determinants of bank credit quality: a non-linear perspective pp. 423-443

Maria Grazia Fallanca, Antonio Fabio Forgione and Edoardo Otranto

De-risking or recontracting – the risk dilemma of EU money laundering regulation pp. 445-458

Kalle Johannes Rose

Using the Shapley value of stocks as systematic risk pp. 459-468

Haim Shalit

Volume 21, issue 3, 2020

Tail models and the statistical limit of accuracy in risk assessment pp. 201-216

Ingo Hoffmann and Christoph J. Börner

On the management of retirement age indexed to life expectancy: a scenario analysis of the Italian longevity experience pp. 217-231

Mariarosaria Coppola, Maria Russolillo and Rosaria Simone

Revisiting Fama–French’s asset pricing model with an MCB volatility risk factor pp. 233-251

Xiaoying Chen and Nicholas Ray-Wang Gao

Longevity swaps for longevity risk management in life insurance products pp. 253-269

Canicio Dzingirai and Nixon S. Chekenya

Optimal pooling strategies under heterogeneous risk classes pp. 271-298

Florian Klein and Hato Schmeiser

Testing risk proxies for financial collateral haircuts: adequacy of capturing tail risk pp. 299-316

Lukasz Prorokowski, Oleg Deev and Hubert Prorokowski

Volume 21, issue 2, 2020

Financial misconduct in Indian banks: what matters and what doesn’t? pp. 57-76

Saibal Ghosh

The impact of telematics on the insurability of risks pp. 77-109

Martin Eling and Mirko Kraft

Market risk assessment pp. 111-126

Athanasios Kokoris, Fragiskos Archontakis and Christos Grose

Optimization of special cryptocurrency portfolios pp. 127-157

Benjamin Schellinger

Emerging market currency risk exposure: evidence from South Africa pp. 159-179

Mashukudu Hartley Molele and Janine Mukuddem-Petersen

Are Islamic stocks subject to oil price risk exposure? pp. 181-200

Ivan Mugarura Tusiime and Man Wang

Volume 21, issue 1, 2020

Does securitization escalate banks’ sensitivity to systemic risk? pp. 1-22

Katerina Ivanov and Julia Jiang

The term structure of equity factor diversification pp. 23-35

Julien Fouquau and Cecile Kharoubi

Risk and complexity – on complex risk management pp. 37-54

Jan Emblemsvåg

Volume 20, issue 5, 2019

The impact of market sectors and rating agencies on credit ratings: global evidence pp. 389-410

Kerstin Lopatta, Magdalena Tchikov and Finn Marten Körner

Shadow prices of non-performing loans and the global financial crisis pp. 411-434

Ameni Tarchouna, Bilel Jarraya and Abdelfettah Bouri

Relationship between price and volume in the Bitcoin market pp. 435-444

Eray Gemici and Müslüm Polat

How to derive optimal guarantee levels in participating life insurance contracts pp. 445-469

Alexander Braun, Marius Fischer and Hato Schmeiser

Effect of pre-disclosure information leakage by block traders pp. 470-483

Tai-Young Kim

Sovereign rating announcements and the integration of African banking markets pp. 484-500

Jianan He and Dirk Schiereck

How do firms manage their interest rate exposure? pp. 501-519

Andreas Hecht

Savings operations with random commencement and conclusion pp. 520-541

María del Carmen Valls Martínez, Salvador Cruz Rambaud and Emilio Abad Segura

Risk-mitigating effect of ESG on momentum portfolios pp. 542-555

Lars Kaiser and Jan Welters

Portfolio allocation across variance risk premia pp. 556-593

Julien Chevallier and Dinh-Tri Vo

Overcoming economic stagnation in low-income communities with programmable money pp. 594-610

Yakko Majuri

Volume 20, issue 4, 2019

Does idiosyncratic risk matter? Evidence from mergers and acquisitions pp. 313-329

Pascal Nguyen, Ben Zaied Younes and Thu Phuong Pham

Cryptocurrencies vs global foreign exchange risk pp. 330-351

Calvin W. H. Cheong

Adjusting for risk factors in mutual fund performance and performance persistence pp. 352-369

Drosos Koutsokostas, Spyros Papathanasiou and Dimitris Balios

Interest rates calibration with a CIR model pp. 370-387

Giuseppe Orlando, Rosa Maria Mininni and Michele Bufalo

Volume 20, issue 3, 2019

Knowledge is power – conceptualizing collaborative financial risk assessment pp. 226-248

Thomas Michael Brunner-Kirchmair and Melanie Wiener

Spillover effects in the European financial services industry from internal fraud events pp. 249-266

Christian Eckert, Nadine Gatzert and Alexander Pisula

What is the value of Facebook? Evidence from the Schwartz/Moon model pp. 267-290

Josef Schosser and Heiko Ströbele

Asset sales, recourse and investor reactions to initial securitizations pp. 291-310

Eric J. Higgins, Joseph R. Mason and Adi E. Mordel

Volume 20, issue 2, 2019

On the nature and financial performance of bitcoin pp. 114-137

Elise Alfieri, Radu Burlacu and Geoffroy Enjolras

From the Fermi–Dirac distribution to PD curves pp. 138-154

Vivien Brunel

High leverage and variance of SMEs performance pp. 155-175

Mazen Gharsalli

The impact of spillover effects from operational risk events: a model from a portfolio perspective pp. 176-200

Christian Eckert and Nadine Gatzert

Risk models vs characteristic models from an investor’s perspective pp. 201-222

Christian Fieberg, Armin Varmaz and Thorsten Poddig

Volume 20, issue 1, 2019

Managing risk for sustainable microfinance pp. 2-13

Heather Knewtson and Howard Qi

The risk in socially responsible investing: the other side of the coin pp. 14-38

Alberto Burchi

Enterprise risk management in family firms: evidence from Austria and Germany pp. 39-58

Martin R.W. Hiebl, Christine Duller and Herbert Neubauer

Non-performing loans and financial development: new evidence pp. 59-81

Peterson Ozili

A dynamic model of an insurer: loss shocks, capacity constraints and underwriting cycles pp. 82-93

Ning Wang and Maryna Murdock

Riskiness of lending to small businesses: a dynamic panel data analysis pp. 94-110

Eliud Moyi