Risk Management

2016 - 2025

Current editor(s): Igor Loncarski

From Palgrave Macmillan
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Volume 22, issue 4, 2020

Cybersecurity hazards and financial system vulnerability: a synthesis of literature pp. 239-309

Md. Hamid Uddin, Md. Hakim Ali and M. Kabir Hassan

Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach pp. 310-337

Fenghua Wen, Kaiyan Weng and Wei-Xing Zhou

China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration pp. 338-361

Xiaomeng Ma, Dong Zou, Chuanchao Huang and Shuliang Lv

Volume 22, issue 3, 2020

Comparison study of two-step LGD estimation model with probability machines pp. 155-177

Yuta Tanoue, Satoshi Yamashita and Hideaki Nagahata

Singular spectrum analysis for modelling the hard-to-model risk factors pp. 178-191

Andrés Berenguer, Luis Gandarias and Álvaro Arévalo

An integrated plithogenic MCDM approach for financial performance evaluation of manufacturing industries pp. 192-218

Mohamed Abdel-Basset, Weiping Ding, Rehab Mohamed and Noura Metawa

Research on RMB exchange rate forecast based on the neural network model and the Nelson–Siegel model pp. 219-237

Rui Hua, Wenzhe Hu and Xiuju Zhao

Volume 22, issue 2, 2020

Liability-driven investments of life insurers under investment credit risk pp. 83-107

Nick Georgiopoulos

New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management pp. 108-132

Raymond H. Chan, Ephraim Clark, Xu Guo and Wing-Keung Wong

Geopolitical Risk Revealed in International Investment and World Trade pp. 133-154

Yong Wang, Changyang Liu and Gaoyi Wang

Volume 22, issue 1, 2020

Risk governance, banks affiliated to business groups, and foreign ownership pp. 1-37

Rubén Chavarín

Another look at the implied and realised volatility relation: a copula-based approach pp. 38-64

Jorge Pérez-Rodríguez

Which interbank net is the safest? pp. 65-82

Stefano Zedda and Simone Sbaraglia

Volume 21, issue 4, 2019

Dynamic prediction of relative financial distress based on imbalanced data stream: from the view of one industry pp. 215-242

Jie Sun, Mengjie Zhou, Wenguo Ai and Hui Li

Systemic risk in financial institutions of BRICS: measurement and identification of firm-specific determinants pp. 243-264

Shumaila Zeb and Abdul Rashid

Modeling and pricing of space weather derivatives pp. 265-291

Birgit Lemmerer and Stephan Unger

Volume 21, issue 3, 2019

Testing expected shortfall: an application to emerging market stock indices pp. 153-182

Emilio Cardona, Andrés Mora-Valencia and Daniel Velásquez-Gaviria

A fuzzy approach for the estimation of foreign investment risk based on values of rating indices pp. 183-199

Simona Hašková and Petr Fiala

Correction to: A fuzzy approach for the estimation of foreign investment risk based on values of rating indices pp. 200-200

Simona Hašková and Petr Fiala

Farinelli and Tibiletti ratio and stochastic dominance pp. 201-213

Xu Guo, Cuizhen Niu and Wing-Keung Wong

Volume 21, issue 2, 2019

Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk pp. 73-98

Xu Guo, Raymond H. Chan, Wing-Keung Wong and Lixing Zhu

Regulatory and governance impacts on bank risk-taking pp. 99-122

Karen Schnatterly, Brent B. Clark, John Howe and Michael L. DeVaughn

Common shock approach to counterparty default risk of reinsurance pp. 123-151

Radek Hendrych and Tomáš Cipra

Volume 21, issue 1, 2019

Relationship banking and information technology: the role of artificial intelligence and FinTech pp. 1-18

Marko Jakšič and Matej Marinč

Corporate risk management practices and firm value in an emerging market: a mixed methods approach pp. 19-47

Gamze Ozturk Danisman and Pelin Demirel

Equity fund flows, market returns, and market risk: evidence from China pp. 48-71

Fiza Qureshi, Ali Kutan, Habib Hussain Khan and Saba Qureshi

Volume 20, issue 4, 2018

Bank–insurer–firm tripartite interconnectedness of credit risk exposures in a cross-shareholding network pp. 273-303

Masayasu Kanno

Managerial hubris detection: the case of Enron pp. 304-325

Eyal Eckhaus and Zachary Sheaffer

Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate pp. 326-346

Barbara Będowska-Sójka

Correction to: Bank–insurer–firm tripartite interconnectedness of credit risk exposures in a cross-shareholding network pp. 347-347

Masayasu Kanno

Volume 20, issue 3, 2018

Measuring contagion risk in high volatility state among Taiwanese major banks pp. 185-241

EnDer Su

In search of a measure of banking sector distress: empirical study of CESEE banking sectors pp. 242-257

Paola Bongini, Małgorzata Iwanicz-Drozdowska, Paweł Smaga and Bartosz Witkowski

Risk and return of a trend-chasing application in financial markets: an empirical test pp. 258-272

Jukka Ilomäki

Volume 20, issue 2, 2018

IPO valuation and offering size pp. 95-120

Chunhua Chen, Chuntai Jin, Tianze Li and Steven X. Zheng

Effect of perceived default risk and accounting information quality on the decision to grant credit to SMEs pp. 121-141

Estefanía Palazuelos, Ángel Herrero Crespo and Javier Montoya del Corte

Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies pp. 142-166

Georgios Papadopoulos, Dionysios Chionis and Nikolaos Rachaniotis

Testing alternative versions of the Fama–French five-factor model in the UK pp. 167-183

James Foye

Volume 20, issue 1, 2018

Superiority of Monte Carlo simulation in valuing real options within public–private partnerships pp. 1-28

Ales S. Berk and Dejan Podhraski

Numerical comparison of multivariate models to forecasting risk measures pp. 29-50

Fernanda Maria Müller and Marcelo Righi

The impact of international factors on Spanish company returns: a quantile regression approach pp. 51-76

Caridad Sevillano Mª and Francisco Jareño

The two-moment decision model with additive risks pp. 77-94

Xu Guo, Andreas Wagener, Wing-Keung Wong and Lixing Zhu

Volume 19, issue 4, 2017

Improving the performance of statistical learning methods with a combined meta-heuristic for consumer credit risk assessment pp. 255-280

Hazar Altinbas and Goktug Cenk Akkaya

The association between CEO characteristics, internal audit quality and risk-management implementation in the public sector pp. 281-300

Khairul Rizan Mat Ludin, Zakiah Muhammaddun Mohamed and Norman Mohd-Saleh

Dependent bootstrapping for value-at-risk and expected shortfall pp. 301-322

Ian Laker, Chun-Kai Huang and Allan Ernest Clark

Designing stress scenarios for portfolios pp. 323-349

Krishan Mohan Nagpal

Volume 19, issue 3, 2017

A VaR assuming Student t distribution not significantly different from a VaR assuming normal distribution pp. 189-201

Su Xu

Risk quantification in turmoil markets pp. 202-224

Antonio Díaz, Gonzalo García-Donato and Andrés Mora-Valencia

Sensemaking and sensegiving as predicting organizational crisis pp. 225-244

Galit Klein and Eyal Eckhaus

Kappa ratios and (higher-order) stochastic dominance pp. 245-253

Cuizhen Niu, Wing-Keung Wong and Qunfang Xu

Volume 19, issue 2, 2017

The Chief Risk Officer: a study of roles and responsibilities pp. 103-130

Erastus Karanja and Mark A. Rosso

The turn-of-the-year effect in mutual fund flows pp. 131-157

Hyung-Suk Choi, Doojin Ryu and Sangik Seok

Credit default prediction modeling: an application of support vector machine pp. 158-187

Fahmida E. Moula, Chi Guotai and Mohammad Zoynul Abedin

Volume 19, issue 1, 2017

Measuring insurers’ investment risk taking with asymmetric tail dependencies pp. 1-31

Gene C. Lai, Erin P. Lu, Haijun Li and Dennis C. Chen

Dynamic forecasting of financial distress: the hybrid use of incremental bagging and genetic algorithm—empirical study of Chinese listed corporations pp. 32-52

Jiaming Liu and Chong Wu

Exchange rate exposure and financial crises: evidence from emerging Asian markets pp. 53-71

Bang Jeon, Lei Zhu and Dazhi Zheng

Financial option insurance pp. 72-101

Qi-Wen Wang and Jian-Jun Shu