Journal of Risk Finance

1999 - 2024

Current editor(s): Nawazish Mirza

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Volume 19, issue 5, 2018

Shadow credit in the middle market: the decade after the financial collapse pp. 414-436

Craig Anthony Zabala and Jeremy Marc Josse

Does market response to S&P additions reflect adjustment for risk? pp. 437-453

Marek Marciniak and Deborah Drummond Smith

Bank failure intensity modeling: an ACD model approach pp. 454-477

Vasileios Siakoulis

Assigning Eurozone sovereign credit ratings using CDS spreads pp. 478-512

Rick van de Ven, Shaunak Dabadghao and Arun Chockalingam

Real exchange rate volatility and domestic consumption in Ghana pp. 513-523

Bernard Njindan Iyke and Sin-Yu Ho

A multi-factor HJM and PCA approach to risk management of VIX futures pp. 524-547

Philippe Bélanger and Marc-André Picard

A deforming time approach to the treatment of risk in projects evaluation pp. 548-563

Salvador Cruz-Rambaud and Ana Maria Sanchez-Perez

Risk aversion decomposition and the impact of monetary policy surprises on aggregate tail risk aversion pp. 564-590

Denghui Chen

Volume 19, issue 4, 2018

Cognitive risk culture and advanced roles of actors in risk governance: a case study pp. 327-342

Ruchi Agarwal and Sanjay Kallapur

Impact of underwriting insurance risk on bank holding company behavior pp. 343-360

Manu Gupta and Puneet Prakash

Does firm performance increase with risk-taking behavior under information technological turbulence? pp. 361-378

Aluisius Hery Pratono

Effects of committee overlap on the monitoring effectiveness of boards of directors: a meta-analysis pp. 379-395

Remmer Sassen, Miriam Stoffel, Maximilian Behrmann, Willi Ceschinski and Hanh Doan

Influencing risk taking in competitive environments: an experimental analysis pp. 396-412

Ivo Schedlinsky, Friedrich Sommer and Arnt Wöhrmann

Volume 19, issue 3, 2018

Revisiting the (mis)pricing of the accrual anomaly pp. 210-224

Felix Canitz, Christian Fieberg, Kerstin Lopatta, Thorsten Poddig and Thomas Walker

Strategic risk, banks, and Basel III: estimating economic capital requirements pp. 225-246

Arun Chockalingam, Shaunak Dabadghao and Rene Soetekouw

Sustainability-themed mutual funds: an empirical examination of risk and performance pp. 247-261

Federica Ielasi, Monica Rossolini and Sara Limberti

Firm opacity and informed trading around spinoffs pp. 262-276

Yuan Wen

Taxes and risk-taking behavior: evidence from mergers and acquisitions in the G7 nations pp. 277-294

Poonyawat Sreesing

A spectral analysis based heteroscedastic model for the estimation of value at risk pp. 295-314

Yang Zhao

Volume 19, issue 2, 2018

The evolution of the bitcoin economy pp. 94-126

Paolo Tasca, Adam Hayes and Shaowen Liu

Value-at-risk and related measures for the Bitcoin pp. 127-136

Stavros Stavroyiannis

Enterprise risk management: history and a design science proposal pp. 137-153

Michael McShane

Financial penalties and banks’ systemic risk pp. 154-173

Hannes Köster and Matthias Pelster

Investor protection, valuation methods and the German alternative funds industry pp. 174-189

Bernd Hoffmann and Karsten Paetzmann

Economies of scale in European life insurance pp. 190-207

Udo Klotzki, Alexander Bohnert, Nadine Gatzert and Ulrike Vogelgesang

Volume 19, issue 1, 2018

Blockchains and distributed ledgers in retrospective and perspective pp. 4-25

Alexander Lipton

Case study of Lykke exchange: architecture and outlook pp. 26-38

Richard Olsen, Stefano Battiston, Guido Caldarelli, Anton Golub, Mihail Nikulin and Sergey Ivliev

An innovative RegTech approach to financial risk monitoring and supervisory reporting pp. 39-55

Petros Kavassalis, Harald Stieber, Wolfgang Breymann, Keith Saxton and Francis Joseph Gross

Using sentiment analysis to predict interday Bitcoin price movements pp. 56-75

Vytautas Karalevicius, Niels Degrande and Jochen De Weerdt

From digital currencies to digital finance: the case for a smart financial contract standard pp. 76-92

Willi Brammertz and Allan I. Mendelowitz

Volume 18, issue 5, 2017

Product diversification, business structure, and firm performance in Taiwanese property and liability insurance sector pp. 486-499

Chen-Ying Lee

The effect of monetary policy announcements and government interventions on the US insurance industry during the 2007-2009 crisis pp. 500-522

Martin Grace, Jannes Rauch and Sabine Wende

Default prediction using balance-sheet data: a comparison of models pp. 523-540

Andreas Behr and Jurij Weinblat

Bond valuation for generalized Langevin processes with integrated Lévy noise pp. 541-563

Alex Paseka and Aerambamoorthy Thavaneswaran

Financial distress cost of Italian small and medium enterprises pp. 564-580

Andrea Quintiliani

Residual foreign exchange risk: does CEO compensation matter? pp. 581-600

Ghassen Nouajaa and Jean-Laurent Viviani

Volume 18, issue 4, 2017

The impact of sovereign rating events on bank stock returns pp. 338-367

Haoshen Hu

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan pp. 368-380

Abdul Rashid, Farooq Ahmad and Ammara Yasmin

Banking stability in the MENA region during the global financial crisis and the European sovereign debt debacle pp. 381-397

Naama Trad, Houssem Rachdi, Abdelaziz Hakimi and Khaled Guesmi

Time-varying beta during the 2008 financial crisis – evidence from North America and Western Europe pp. 398-431

Ikrame Ben Slimane, Makram Bellalah and Hatem Rjiba

Interest rate convergence, sovereign credit risk and the European debt crisis: a survey pp. 432-442

Mario Gruppe, Tobias Basse, Meik Friedrich and Carsten Lange

Interest rate, liquidity, and sovereign risk: derivative-based VaR pp. 443-465

Mariya Gubareva and Maria Borges

Asset liability management and the euro crisis pp. 466-483

Miguel Rodriguez Gonzalez, Frederik Kunze, Christoph Schwarzbach and Christoph Dieng

Volume 18, issue 3, 2017

Enterprise risk management: a capability-based perspective pp. 234-251

Yevgen Bogodistov and Veit Wohlgemuth

Systemic operational risk pp. 252-267

Thomas Kaspereit, Kerstin Lopatta, Suren Pakhchanyan and Jörg Prokop

Estimates and inferences in accounting panel data sets: comparing approaches pp. 268-283

Felix Canitz, Panagiotis Ballis-Papanastasiou, Christian Fieberg, Kerstin Lopatta, Armin Varmaz and Thomas Walker

Concentration and financial stability in the property-liability insurance sector: global evidence pp. 284-302

Muhammed Altuntas and Jannes Rauch

Asset risk and leverage under information asymmetry pp. 303-310

Pascal Nguyen

Markov regenerative credit rating model pp. 311-325

Puneet Pasricha, Dharmaraja Selvamuthu and Viswanathan Arunachalam

Macroprudential measures in the housing markets – a note on the empirical literature pp. 326-335

Essi Eerola

Volume 18, issue 2, 2017

CDS spreads as an independent measure of credit risk pp. 122-144

Florian Kiesel and Jonathan Spohnholtz

Corporate reputation and reputation risk pp. 145-158

Christian Eckert

Can mutual fund flows serve as market risk sentiment? pp. 159-185

Hsin-Hui Chiu and Lu Zhu

How do derivative securities affect bank risk and profitability? pp. 186-213

Amit Ghosh

PRIX – A risk index for global private investors pp. 214-231

Sebastian Stöckl, Michael Hanke and Martin Angerer

Volume 18, issue 1, 2017

The impact of time discretization on solvency measurement pp. 2-20

Hato Schmeiser and Daliana Luca

Risk management and managerial mindset pp. 21-47

Ronald William Eastburn and Alex Sharland

Municipal bond insurance: identifying the best payment plan pp. 48-54

Andrew Kalotay and Leslie Abreo

A longevity basis risk analysis in a joint FDM framework pp. 55-75

Valeria D’Amato, Mariarosaria Coppola, Susanna Levantesi, Massimiliano Menzietti and Maria Russolillo

Risk measures computation by Fourier inversion pp. 76-87

Ngoc Quynh Anh Nguyen and Thi Ngoc Trang Nguyen

Back-testing extreme value and Lévy value-at-risk models pp. 88-118

Sharif Mozumder, Michael Dempsey and M. Humayun Kabir