Journal of Risk

From Journal of Risk
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Approximate risk parity with return adjustment and bounds for risk diversification: Viraat Singh and Ali Hirsa
The power of neural networks in stochastic volatility modeling: Caspar SchÃ¶n and Martin Walther
A tale of two tail risks: Xin Huang
The impact of divergence in communication tone on investorsâ€™ willingness to invest in eurozone small- to medium-sized enterprises: Dimitris Anastasiou, Stelios Giannoulakis, Christos Kallandranis and Styliani-Iris Krokida
The effects of climate transition risk on an investment portfolio: Marco van der Burgt
Earnings moves and pre-earnings implied volatility: Arjun K. M., Mike Lipkin and Leon Tatevossian
The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach: Zilong Liu and Hongyan Liang
We will shock you: a coherent Bayesian approach for stress testing: JoÃ£o VinÃcius FranÃ§a Carvalho and Filipi Sanguino
Optimal trade execution with unknown drift: Martin Forde
Expectile risk quadrangles and applications: Anton Malandii, Viktor Kuzmenko and Stan Uryasev
Relaxing the assumption of conditional independence in an asymptotic single risk factor model: Frederic Menninger
Bonus caps and bankersâ€™ risk-taking: Esa Jokivuolle, Jussi Keppo and Xuchuan Yuan
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions: Ce Guo, Qiwei Xie, Jingyu Li and Dandan Zhang
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors: David Lozinski and Chris Stavnitzky
Converting a covariance matrix from local currencies to a common currency: Gianluca Fusai, Domenico Mignacca and Khalifa Al-Thani
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps: Xinyu Wu, Yuyao Wang and Bo Zhang
Kernel-based estimation of spectral risk measures: Suparna Biswas and Rituparna Sen
Analyzing market sentiment based on the option-implied distribution of stock returns: Shu Ling Chiang and Ming Shann Tsai
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming: Nick Georgiopoulos
Tracking toxicity in fast and complex markets: Agnieszka Jach
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk: Taras Bodnar, Vilhelm Niklasson and Erik ThorsÃ©n
The impact of economic sentiment on financial portfolios during the recent turmoil: Thibault Bougerol and Julien Fouquau
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework: Peng Yang
Banking competition and systemic risk: evidence from China: Jiawei Guo and Jiwen Chai
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations: Thomas Siegl and Daniel Steinberg
Multi-factor default correlation model estimation: enhancement with bootstrapping: Zhihui Yang, Saikat Ray Majumder, Weiwei Shen, Stephane Karm, Douglas Cameron and James Gellert
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio: Paulo Viegas de Carvalho, Carlos Manuel Pinheiro and Marta Sofia Rodrigues
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data: Houmera Bibi Sabera Nunkoo, Noor-Ul-Hacq Sookia, Preethee Nunkoo Gonpot and Thekke Variyam Ramanathan
Meanâ€“variance insurance design under heterogeneous beliefs: Yanhong Chen, Wenjun Jiang and Yiying Zhang
Peak-to-valley drawdowns: insights into extreme path-dependent market risk: Hans Geboers, Benoit Depaire and Stefan Straetmans
Realized quantity extended conditional autoregressive value-at-risk models: Pit GÃ¶tz
Estimating the impact of climate change on credit risk: Stuart M Turnbull
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment: Yuting Hou, Xiu Jin and Wei-Qiang Huang
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns: Christoph J. BÃ¶rner, Ingo Hoffmann, Jonas Krettek, Lars M. KÃ¼rzinger and Tim Schmitz
The importance of being scrambled: supercharged quasi-Monte Carlo: Sergei Kucherenko and Julien Hok
An approach to capital allocation based on mean conditional value-at-risk: Yuecai Han, Fengtong Zhang and Xinyu Liu
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation: Samir Saissi Hassani and Georges Dionne
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing: Tingli Liu, JiaNing Liu, Junjun Ma and Yafei Tai
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures: Lukas Tilmann and Martin Walther
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk: Qiwei Xie, Lu Cheng, Jingyu Li and Xiaolong Zheng
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility: Xinyu Wu, Xueting Mei and Xuebao Yin
On capital allocation under information constraints: Christoph J. BÃ¶rner, Ingo Hoffmann, Fabian Poetter and Tim Schmitz
Target-date funds: lessons learned?: Bin Chang and Laurence Booth
A dynamic program under LÃ©vy processes for valuing corporate securities: Hatem Ben-Ameur, Rim ChÃ©rif and Bruno N. RÃ©millard
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets: Ziliang Yu, Yanan Liu, Huiting Mang and Xiaomeng Liu
Value-at-risk models: a systematic review of the literature: Reem Shayya, Maria Teresa Sorrosal-Forradellas and Antonio TerceÃ±o
A theory for combinations of risk measures: Marcelo Brutti Righi
Allocating and forecasting changes in risk: Daniel Gaigall
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operatorâ€“vector autoregression high-dimensional network: Xiaotong Song, Tiancai Xing and Xiaoyi Li
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkeyâ€™s nonperforming loans: Mustafa Tevfik Kartal, Fatih Ayhan and Merve Altaylar
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach: Jiusheng Chen
Assessing systemic fragility: a probabilistic perspective: Deyan Radev
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall: Sebastian Letmathe, Yuanhua Feng and AndrÃ© Uhde
Explainable artificial intelligence for credit scoring in banking: Borger Melsom, Christian Bakke VennerÃ¸d, Petter Eilif de Lange, Lars Ole Hjelkrem and Sjur Westgaard
Nonparametric estimation of systemic risk via conditional value-at-risk: Ahmed Belhad, Davide Lauria and A. Alexandre Trindade
Forecasting the realized volatility of stock markets with financial stress: Chuan Guo and Yiyun Feng
Counterparty risk allocation: Rainer Baule
The statistics of capture ratios: Ruihong Jiang, David Saunders and Chengguo Weng
Distance to default based on the CEVâ€“KMV model: Wen Su
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model: Xinyu Wu, Michelle Xia and Huanming Zhang
Shrinking beta: David Blitz, Laurens Swinkels, Kristina ÅªsaitÄ— and Pim van Vliet
Forecasting the European Monetary Union equity risk premium with regression trees: David CortÃ©s and Pilar Soriano
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines: Stefanos Tsakonas, Michael Hanias, Lykourgos Magafas and Loukas Zachilas
Future portfolio returns and the VIX term structure: David Yechiam Aharon and Thomas Dimpfl
A new approach to detecting change in credit quality: Rusudan Kevkhishvili
Detecting prudence and temperance in risk exposure: the hybrid variance framework: Jun Gao, Xiang Gao, Xiaoli Liu and Zhan Wang
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty: Elie Bouri, Rangan Gupta, Clement Kyei and Sowmya Subramaniam
Modeling the exit cashflows of private equity fund investments: Christian Tausch, Axel Buchner and Georg SchlÃ¼chtermann
A factor-based risk model for multifactor investment strategies: FrÃ©dÃ©ric Abergel, Benoit Bellone and FranÃ§ois SoupÃ©
Market efficiency and volatility within and across cryptocurrency benchmark indexes: Dimitrios Koutsoupakis
Severe but plausible â€“ or not?: Stefan Gavell, Mark Kritzman and Cel Kulasekaran
Estimating future value-at-risk from value samples, and applications to future initial margin: Narayan Ganesan and Bernhard Hientzsch
Regularization effect on model calibration: Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
How to build a risk factor model for non-life insurance risk: Alessandro Ferriero
Are there multiple independent risk anomalies in the cross section of stock returns?: Benjamin R. Auer and Frank Schuhmacher
Ruin problems in a discrete risk model in a Markovian environment: Hyun Joo Yoo and Jerim Kim
Test for fractional degree stochastic dominance with applications to stock preferences for China and the United States: Jianli Wang, Xiong Xiong, Lin Zhou and Xu Guo
Covariance estimation for risk-based portfolio optimization: an integrated approach: Andrew Butler and Roy H. Kwon
Modeling nonmaturing deposits: a framework for interest and liquidity risk management: Emil Avsar and Benjamin Ruimy
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices: Jia Liu
Reinvestigating international crude oil market risk spillovers: Cuixia Jiang, Yuqian Li, Qifa Xu and Jun Wu
Time-varying tail dependence networks of financial institutions: Fenghua Wen, Kaiyan Weng and Jie Cao
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall: Xiaohang Liu and Handong Li
The impact of compounding on bond pricing with alternative reference rates: Dario CzirÃ¡ky and Ana Ponikvar
An examination of the tail contribution to distortion risk measures: Miguel Santolino, Jaume Belles-Sampera, JosÃ© MarÃa Sarabia and Montserrat Guillen
Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model: Xinyu Wu, Yang Han and Chaoqun Ma
Performance measures adjusted for the risk situation (PARS): Christoph Peters and Roland C. Seydel
Correlated idiosyncratic volatility shocks: Xiao Qiao and Yongning Wang
A numerical approach to the risk capital allocation problem: Henryk Gzyl and Silvia Mayoral
Procyclicality control in risk-based margin models: Lauren Wong and Yang Zhang
Option pricing using high-frequency futures prices: Stavros Degiannakis, Christos Floros, Thomas Poufinas, George Filis and Konstantinos Gkillas
A general framework for the identification and categorization of risks: an application to the context of financial markets: Micha Bender and Sven Panz
Risk measures: a generalization from the univariate to the matrix-variate: MarÃa A. Arias-Serna, Francisco J. Caro-Lopera and Jean-Michel Loubes
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate: Anna Rokicka and Janusz KudÅ‚a
Optimal foreign exchange hedge tenor with liquidity risk: Rongju Zhang, Mark Aarons and Gregoire Loeper
Optimization of systemic risk: reallocation of assets based on bank networks: Hu Wang and Shouwei Li
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency: Ted Yu
Forecasting Bitcoin returns: is there a role for the USâ€“China trade war?: Vasilios Plakandaras, Elie Bouri and Rangan Gupta
Bias-corrected estimators for the Vasicek model: an application in risk measure estimation: Zi-Yi Guo
A framework to analyze the financial effects of climate change: Stuart M Turnbull and Lawrence Habahbeh
Body and tail: an automated tail-detecting procedure: Ingo Hoffmann and Christoph BÃ¶rner
Standard errors of risk and performance estimators for serially dependent returns: Xin Chen and R. Douglas Martin
Bank leverage and capital bias adjustment through the macroeconomic cycle: Andy Jia-Yuh Yeh
Optimal reinsurance with expectile under the Vajda condition: Yanhong Chen
Modeling loss given default regressions: Phillip Li, Xiaofei Zhang and Xinlei Zhao
Monetary policy uncertainty and jumps in advanced equity markets: Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Clement Kyei
The impact of corporate social and environmental performance on credit rating prediction: North America versus Europe: Gregor Dorfleitner, Johannes Grebler and Sebastian Utz
Fund size and the stability of portfolio risk: Martin Ewen and Marc Oliver Rieger
Economic policy uncertainty, investorsâ€™ attention and US real estate investment trustsâ€™ herding behaviors: Wei-Ling Huang, I-Chun Tsai and Wen-Yuan Lin
Volatility spillover along the supply chains: a network analysis on economic links: Theo Berger and Ramazan GenÃ§ay
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book: Zhongfang He
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model: Haibin Xie
Procyclicality mitigation for initial margin models with asymmetric volatility: Elena Goldman and Xiangjin Shen
A new dynamic hedging model with futures: the Kalman filter error-correction model: Chien-Ho Wang, Chang-Ching Lin, Shu-Hui Lin and Hung-Yu Lai
A regime-switching factor model for meanâ€“variance optimization: Giorgio Costa and Roy H. Kwon
The impact of shareholdersâ€™ limited liability on risk- and value-based management: Christian Eckert and Johanna Eckert
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework: Andrea Bertagna, Dragos Deliu, Luca Lopez, Aldo Nassigh, Michele Pioppi, Fabian Reffel, Peter Schaller and Robert Schulze
Hedging incentives for financial institutions: Frans de Weert
Near-real-time monitoring in real-time gross settlement systems: a traffic light approach: Ron Berndsen and Ronald Heijmans
Empirical analysis of oil risk-minimizing portfolios: the DCCâ€“GARCHâ€“MODWT approach: Dejan Zivkov, Jovan Njegic and Vladimir Zakic
Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China: Quanxi Liang and Wei Mao
Backtesting expected shortfall: a simple recipe?: Felix Moldenhauer and Marcin Pitera
Currency risk in foreign currency accounts for small and medium-sized businesses: Lorenzo Reus
The impact of the cross-shareholding network on extreme price movements: evidence from China: Jie Cao and Fenghua Wen
Measuring the systemic risk of Chinaâ€™s banking sector: an application of differential DebtRank: Wenjie Yin, Faqi Jin, Meiyu Tian and Fenghua Wen
Static and dynamic risk capital allocations with the Euler rule: Tim J. Boonen
Nonparametric versus parametric expected shortfall: R. Douglas Martin and Shengyu Zhang
The efficiency of the Andersonâ€“Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models: Matteo Formenti, Luca Spadafora, Marcello Terraneo and Fabio Ramponi
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model: Marius Pfeuffer, Maximilian Nagl, Matthias Fischer and Daniel RÃ¶sch
Estimating maturity profiles of nonmaturing deposits: Fidelis Musakwa and Eric Schaling
Recursive estimation of the exponentially weighted moving average model: Radek Hendrych and TomÃ¡Å¡ Cipra
Rating migrations of US financial institutions: are different outcomes equivalent?: Huong Dieu Dang
Making Cornishâ€“Fisher fit for risk measurement: John D. Lamb, Maura E. Monville and Kai-Hong Tee
Counterparty risk: credit valuation adjustment variability and value-at-risk: MichÃ¨le Breton and Oussama Marzouk
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall: G. Arici, M. Dalai and R. Leonardi
A generic stress testing framework with related economic shocks and possible regulatory intervention: Dror Parnes and Michael Jacobs
Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression: Yuta Tanoue and Satoshi Yamashita
Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach: Meng-Shiuh Chang, Jing Yuan and Jing Xu
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework: Alessandro Pogliani, Federico Paganini and Marilena Rata
Range-based volatility forecasting: an extended conditional autoregressive range model: Haibin Xie and Xinyu Wu
The implications of value-at-risk and short-selling restrictions for portfolio manager performance: Fulbert Tchana Tchana and Georges Tsafack
Second-order risk of alternative risk parity strategies: Simone Bernardi, Markus Leippold and Harald Lohre
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model: Daniel Henrique Salgado and Osvaldo Candido
Asymmetry herding behavior of real estate investment trusts: evidence from information demand: Wen-Yuan Lin, Ming-Hung Wu and Ming-Chi Chen
Measuring latent risk preferences: minimizing measurement biases: Gosse Alserda
Balance-sheet interest rate risk: a weighted Lp approach: Leslaw Gajek and Elzbieta Krajewska
A three-state early warning system for the European Union: Savas Papadopoulos, Pantelis Stavroulias, Thomas Sager and Etti Baranoff
Covering the world: global evidence on covered calls: Roni Israelov, Matthew Klein and Harsha Tummala
A general framework for constructing bank risk data sets: Xiaoqian Zhu, Lu Wei, Dengsheng Wu and Jianping Li
Optimal hedge ratios based on Markov-switching dynamic copula models: Jinzhi Li
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies: Hany M. Farag
Equity market impact modeling: an empirical analysis for the Chinese market: Shiyu Han, Lan Wu and Yuan Cheng
New backtests for unconditional coverage of expected shortfall: Robert LÃ¶ser, Dominik Wied and Daniel Ziggel
Multifactor granularity adjustments for market and counterparty risks: Jean-David Fermanian and ClÃ©ment Florentin
Chaotic behavior in financial market volatility: Houda Litimi, Ahmed BenSaÃ¯da, Lotfi Belkacem and Oussama Abdallah
Forecasting corporate defaults in the German stock market: Richard Lennart Mertens, Thorsten Poddig and Christian Fieberg
BVâ€“VPIN: Measuring the impact of order flow toxicity and liquidity on international equity markets: Rand Low, Te Li and Terry Marsh
Estimation window strategies for value-at-risk and expected shortfall forecasting: Tobias Berens, Gregor WeiÃŸ and Daniel Ziggel
Risk averse fractional trading using the current drawdown: Stanislaus Maier-Paape
Impact of D-vine structure on risk estimation: Catalina BolancÃ© Losilla, Ramon Alemany and Alemar E. Padilla Barreto
Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing: Necmi K Avkiran, Christian M. Ringle and Rand Low
Genetic algorithm-based portfolio optimization with higher moments in global stock markets: Saranya Kshatriya and Krishna Prasanna
The CoCVaR approach: systemic risk contribution measurement: Wei-Qiang Huang and Stan Uryasev
Risk-averse dynamic arbitrage in illiquid markets: Somayeh Moazeni, Ricardo A. Collado and Andy Zhang
International and temporal diversifications: the best of both worlds?: Julien Fouquau, CÃ©cile Kharoubi and Philippe Spieser
Mostly prior-free asset allocation: Sylvain Chassang
Optimal equity protection of Solvency II regulated portfolios: Benoit Vaucher
Valuing streams of risky cashflows with risk-value models: Gregor Dorfleitner and Werner GleiÃŸner
Initial margin with risky collateral: Ming Shi, Xinxin Yu and Ke Zhang
The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy: Riccardo Rebonato
Estimation risk for value-at-risk and expected shortfall: Paul Kabaila and Rheanna Mainzer
A vine copulaâ€“GARCH approach to corporate exposure management: Christopher M. Wells, Ahmad Farhat, Christopher Richardson and T. Ryan Deering
A model for the valuation of assets with liquidity risk: Bert-Jan Nauta
Determinants of foreign exchange risk: some further evidence: Luke Lin and Wen-Yuan Lin
An enterprise perspective of performance attribution: introducing the keel model: Robert Brooks
Risk management and regulation: Tobias Adrian
A Darwinian view on internal models: Paul Embrechts
Derivatives pricing under bilateral counterparty risk: Peter Carr and Samim Ghamami
Asset price bubbles and risk management: Robert Jarrow
A vine copulaâ€“GARCH approach to corporate exposure management: Christopher M. Wells, Ahmad Farhat, Christopher Richardson and T. Ryan Deering
Estimating the tail shape parameter from option prices: Kam Hamidieh
Inefficiency and bias of modified value-at-risk and expected shortfall: R. Douglas Martin and Rohit Arora
Comparing multivariate volatility forecasts by direct and indirect approaches: Alessandra Amendola and Vincenzo Candila
Risk management for private equity funds: Axel Buchner
On empirical likelihood option pricing: Xiaolong Zhong, Jie Cao, Yong Jin and Wei Zheng
Pricing and hedging options with rollover parameters: Sol Kim
Does higher-frequency data always help to predict longer-horizon volatility?: Ben Charoenwong and Guanhao Feng
Are the GIPS sovereign debt markets efficient during a crisis?: Bachar Fakhrya, Omar Masood and Mondher Bellalah
Liquidity risk management implementation for selected Islamic banks in Pakistan: Omar Masood, Javaria Younas and Mondher Bellalah
Time-varying beta and the global financial crisis: evidence from Chinese and Indian firms: Jihed Majdoub, Ines Ben Bouhouch and Salim Ben Sassi
Basel III implementation outcome in Islamic banks: Omar Masood, Mondher Bellalah and Shahid M K Ghauri
Default risk charge: modeling framework for the â€œBaselâ€ risk measure: Sascha Wilkens and Mirela Predescu
A new bootstrap test for multiple assets joint risk testing: David Ardia, Lukasz Gatarek and Lennart F. Hoogerheide
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies: Hany M. Farag
International diversification through iShares and their rivals: Jie Cao, Rao Fu and Yong Jin
Debtâ€“liquidity shock risk: intertemporal effects and probability measures: Bernardo Maggi
Analytical method of computing stressed value-at-risk with conditional value-at-risk: KiHoon Hong
The temporal dimension of risk: Ola Mahmoud
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management: Luca Riccetti
Shortfall deviation risk: an alternative for risk measurement: Marcelo Brutti Righi and Paulo Sergio Ceretta
Scaling by the square-root-of-time rule: an empirical investigation using five market indexes: James Cameron, Chandra Gulati and Yan-Xia Lin
Delta-hedged gains and risk-neutral moments: Sol Kim and Dahea Kim
Compositional methods applied to capital allocation problems: Jaume Belles-Sampera, Montserrat Guillen and Miguel Santolino
Acceptability bounds for forward starting options using disciplined convex programming: Dilip B. Madan
A fuzzy data envelopment analysis model for evaluating the efficiency of socially responsible and conventional mutual funds: I. Baeza-Sampere, Vicente Coll-Serrano, B. Mâ€™Zali and P. MÃ©ndez-RodrÃguez
Optimal asset management for defined-contribution pension funds with default risk: Shibo Bian, James Cicon and Yi Zhang
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm: Brian D. Deaton
Path-consistent wrong-way risk: a structural model approach: Markus Hofer
Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns: Marcel WollschlÃ¤ger and Rudi SchÃ¤fer
Modeling redemption risks of mutual funds using extreme value theory: Sascha Desmettre and Matthias Deege
The valuation of contingent convertible catastrophe debt under simple solvency and liquidity covenants: Nick Georgiopoulos
Relative performance persistence of financial forecasting models and its economic implications: Thorsten Poddig, Eduard Baitinger and Christian Fieberg
The role of model risk in extreme value theory for capital adequacy: Harald Scheule, Ralf Kellner and Daniel RÃ¶sch
Finite difference methods for estimating marginal risk contributions in asset management: Michael Olschewsky, Stefan LÃ¼demann and Thorsten Poddig
Comparing risk measures when aggregating market risk and credit risk using different copulas: Jakob Maciag, Frederik Hesse, Rolf Boeve and Andreas Pfingsten
Stochastic receding horizon control for short-term risk management in foreign exchange: Philip Leong, Farzad Noorian and Barry Flower
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis: Pilar Abad, Sonia Benito, Carmen LÃ³pez MartÃn and Miguel Ã ngel SÃ¡nchez-Granero
Pricing options on trend-stationary currencies: applications to the Chinese yuan: Michael Mebane
Wavelet decomposition and applied portfolio management: Theo Berger
Outperforming benchmarks with their derivatives: theory and empirical evidence: Alejandro BalbÃ¡s, Beatriz BalbÃ¡s and Raquel BalbÃ¡s
Suboptimality in portfolio conditional value-at-risk optimization: Edgars Jakobsons
The application of Hermite polynomials to risk allocation: Francois Buet-Golfouse and Anthony Owen
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods: Kohei Marumo and Rodney Wolff
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches: Harald Kinateder
Model uncertainty in risk capital measurement: Valeria Bignozzi and Andreas Tsanakas
Does bonus deferral reduce risk-taking?: Dietmar Leisen
Stop-outs under serial correlation and the triple penance rule: David H. Bailey and Marcos LÃ³pez de Prado
What is the best risk measure in practice? A comparison of standard measures: Susanne Emmer, Marie Kratz and Dirk Tasche
Nonnegative risk components: Jeremy Staum
Managing option-trading risk when mental accounting influences prices: Hammad Siddiqi
Bayesian synthesis of portfolio credit risk with missing ratings: Dror Parnes
Extreme value theory, asset ranking and threshold choice: a practical note on VaR estimation: Benjamin R. Auer
Historical simulation with component weight and ghosted scenarios: Xinyi Liu
Commodity risk hedging through risk sharing: reengineering Islamic forwards: Ali Kafou and Ahmed Chakir
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets: Mondher Bellalah and Zeineb Chayeh
Applying the Cornishâ€“Fisher expansion to value-at-risk estimation in Islamic banking: Hylmun Izhar
Recursive profit-and-loss sharing: Walid Mansour and Mohamed Ben Abdelhamid and Almas Heshmati
The management of refinancing risk in Islamic banks: Kenneth Baldwin
Nonmaturity deposits and banksâ€™ exposure to interest rate risk: issues arising from the Basel regulatory framework: Rosa Cocozza and Domenico Curcio and Igor Gianfrancesco
The impact of model risk on capital reserves: a quantitative analysis: Philip Bertram and Philipp Sibbertsen and Gerhard Stahl
Better risk and performance estimates with factor-model Monte Carlo: Yindeng Jiang and R. Douglas Martin
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision: Yukio Muromachi
Mergers and acquisitions: collar contracts: An Chen and Christian Hilpert
The signalling properties of the shape of the credit default swap term structure: Jenny Castellanos and Nick Constantinou and Wing Lon Ng
First- and second-order Greeks in the Heston model: Jiun Hong Chan and Mark Joshi and Dan Zhu
A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments: Christian Lau
Combining alpha streams with costs: Zura Kakushadze
Risk measures and the impact of asset price bubbles: Robert Jarrow and Felipe Bastos G. S Silva
Ultra-fast scenario analysis of mortgage prepayment risk: Alexios Theiakos, Jurgen Tas, Han van der Lem and Drona Kandhai
A reduced-form contingent convertible bond model with deterministic conversion intensity: Patrick Cheridito and Zhikai Xu
A Taylor series approach to pricing and implied volatility for localâ€“stochastic volatility models: Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
A one-factor copula-based model for credit portfolios: Marek Kolman
Time-varying volatility asymmetry: a conditioned HAR-RV(CJ) EGARCH-M model: Ã–zcan Ceylan
Copulas and portfolio strategies: an applied risk management perspective: Theo Berger and Martin Missong
The relationship between credit default swap spreads and equity prices: Michele Marzano, Gary Dunn and and Nick Constantinou
Choice of rating technology and loan pricing in imperfect credit markets: Hannelore De Silva, Engelbert Dockner, Rainer Jankowitsch, Stefan Pichler and and Klaus Ritzberger
Numerical experiments on hedging cliquet options: Fiodar Kilin, Morten Nalholm and and Uwe Wystup
Are tradersâ€™ rules useful for pricing options? Evidence from intraday data: Sol Kim
A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents: Samuel Drapeau, Michael Kupper and Antonis Papapantoleon
Suitability of capital allocations for performance measurement: Eduard Kromer and Ludger Overbeck
Modeling a risk-based criterion for a portfolio with options: Geng Deng, Tim Dulaney and Craig McCann
General covariance, the spectrum of Riemannium and a stress test calculation formula: Piotr Chmielowski
Selection versus averaging of logistic credit risk models: Evelyn Hayden and Alex Stomper and Arne Westerkamp
Diversifying risk parity: Harald Lohre and Heiko Opfer and GÃ¡bor OrszÃ¡g
Risk evaluation of mortgage-loan portfolios in a low interest rate environment: Masaaki Kijima and Youichi Suzuki and Yasuhiro Tamba
Pitfalls and solutions in current risk management methodology: Cristina Danciulescu
A test for the equality of multiple Sharpe ratios: John Alexander Wright and Sheung Chi Phillip Yam and Siu Pang Yung
Identifying mixture copula components using outlier detection methods and goodness-of-fit tests: Gregor N. F. WeiÃŸ
Nonparametric forward-looking value-at-risk: Marcus Nossman and Anders Vilhelmsson
Testing for GARCH effects with quasilikelihood ratios: Richard Luger
Conditional value-at-risk-based optimal partial hedging: Jianfa Cong and Ken Seng Tan and Chengguo Weng
Optimal hedging of funding liquidity risk: Wei Chen and Jimmy Skoglund
Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges: Giovanni Puccetti and Ludger RÃ¼schendorf
A gradual nonconvexification method for minimizing value-at-risk: Jiong Xi, Thomas F. Coleman and Yuying Li and Aditya Tayal
Approximating the multivariate distribution of time-aggregated stock returns under GARCH: Jean-Guy Simonato
The valuation of credit default swaps including investorâ€“counterpartyâ€“reference entity default correlation: Gunter Meissner and Dallyn Mesarch and Alexey Olkov
Dynamic linkages in credit risk: modeling the time-varying correlation between the money and derivatives markets over the crisis period: Weiou Wu and David McMillan
Modeling risk-weighted assets and the risk sensitivity of related capital requirements: Ernst Eberlein and Dilip Madan and Wim Schoutens
Modified expected shortfall: a new robust coherent risk measure: Deepak Jadhav and T. V. Ramanathan and U. V. Naik-Nimbalkar
Alternative hedging in a discrete-time incomplete market: Norman Josephy and Lucia Kimball and Victoria Steblovskaya
The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities: Alfred Hamerle and Thilo Liebig and Hans-Jochen Schropp
Portfolio risk forecasting: Valentin Braun and Andreas Hackethal
Real estate investment trust return dynamics and value-at-risk under alternative classes of model specifications: Jung-Suk Yu
An alternative explanation for the variation in reported estimates of risk aversion: Donal Oâ€™Neill and Denis Conniffe
Public visibility and risk-related disclosures in Portuguese credit institutions: Jonas Oliveira and LÃºcia Lima Rodrigues and Russell Craig
Deriving the minimal amount of risk capital for property-liability insurance companies utilizing asset liability management: Matthias Schmautz and Niklas Lampenius
The alpha alignment factor: a solution to the underestimation of risk for optimized active portfolios: Anureet Saxena and Robert A. Stubbs
Dynamic option-based strategies under downside loss aversion: Amine Jalal
On the reliability of integrated risk measurement in practice: Peter Grundke
Asset allocation with conditional value-at-risk budgets: Kris Boudt and Peter Carl and Brian G. Peterson
A variational derivation of risk-adjusted performance measures: George Xiang and Jiangyang Liu and Qi Wang
Risk sharing and individual life-cycle investing in funded collective pensions: Roderick D. J. Molenaar and Eduard H. M. Ponds
The Sharpe ratio efficient frontier: David H. Bailey and Marcos LÃ³pez de Prado
Are real investment decisions based on risk-adjusted performance measures consistent with maximizing shareholder value?: Niklas Lampenius
The importance of attributing active risk to benchmark-relative sources: Ben Davis and Jose Menchero
Measuring risk for large hedgers and large speculators in major US futures markets: Ikhlaas Gurrib
Sample tangency portfolio, representativeness and ambiguity: impact of the law of small numbers: Ghislain Yanou
Pricing to acceptability: with applications to valuation of oneâ€™s own credit risk: Ernst Eberlein and Thomas Gehrig and Dilip B. Madan
Failure of the saddlepoint method in the presence of double defaults: Eva LÃ¼tkebohmert
Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation: Konstantin Kalinchenko and Stan Uryasev and R. Tyrrell Rockafellar
Cashflow replication with mismatch constraints: Wei Chen and Jimmy Skoglund
Efficient pricing and Greeks in the cross-currency LIBOR market model: Chris J. Beveridge and Mark S. Joshi and Will M. Wright
Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model: Long Kang and Simon H. Babbs
Incorporating forward-looking market data into linear multifactor fundamental models: Luiza Miranyan
Fitting the generalized Pareto distribution to commercial fire loss severity: evidence from Taiwan: Wo-Chiang Lee
Value-at-risk and ruin probability: Jiandong Ren
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations: Nikolaus Rab and Richard Warnung
Accounting for nonnormality in liquidity risk: Cornelia Ernst and Sebastian Stange and Christoph Kaserer
On the aggregation of local risk models for global risk management: Greg Anderson, Lisa Goldberg, Alec N. Kercheval, Guy Miller and Kathy Sorge
Economic capital for life insurance with-profit long-term business funds: Bruce T. Porteous
Currency dependence of corporate credit spreads: Rainer Jankowitsch and Stefan Pichler
Interest rate model risk: an overview: Rajna Gibson, FranÃ§ois-Serge Lhabitant, Nathalie Pistre and and Denis Talay
Comparison of cashflow maps for value-at-risk: Marc Henrard
Using value-at-risk to control risk taking: how wrong can you be?: Xiongwei Ju and Neil D. Pearson
The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited: Risk Staff
Portfolio optimization with conditional value-at-risk objective and constraints: Pavlo Krokhmal and Stanislav Uryasev and Jonas Palmquist
Efficient filtering of financial time series and extreme value theory: Kaj NystrÃ¶m and Jimmy Skoglund
Value-at-risk and market crashes: Chris Brooks and Gita Persand
Correlation stress testing for value-at-risk: Saygun Turkay, Eduardo Epperlein and Nicos Christofides
Sequential defaults and incomplete information: Kay Giesecke and Lisa R. Goldberg
Basket default swaps, CDOs and factor copulas: Jean-Paul Laurent and Jon Gregory
An empirical investigation of the rank correlation between different risk measures: Andreas Pfingsten and Peter Wagner and Carsten Wolferink
Power options: hedging nonlinear risks: Robert G. Tompkins
Risk estimation using the normal inverse Gaussian distribution: Johannes H.Venter and Pieter J. de Jongh
Biases in estimating bank loan default probabilities: Thomas MÃ¤hlmann
Estimating expected losses and liquidity discounts implicit in debt prices: Tibor Janosi, Robert Jarrow and Yildiray Yildirim
Coherent allocation of risk capital: Michel Denault
Predicting financial crashes using discrete scale invariance: Anders Johansen and Didier Sornette and Olivier Ledoit
Assessing fiscal sustainability under uncertainty: Theodore M. Barnhill, Jr and George Kopits
How to account for extreme co-movements between individual stocks and the market: Yannick Malevergne and D. Sornette
Managing the risk of relative price changes by splitting index-linked bonds: Andrew R. Aziz, Eliakim Katz and Eliezer Z. Prisman
Capital allocation with value-at-risk â€“ the case of informed traders and herding: Hans-Peter Burghof and Tanja Sinha
On the usefulness of implied risk-neutral distributions â€“ evidence from the Korean KOSPI 200 Index options market: In Joon Kim and Sol Kim
Value-at-risk using the factor-ARCH model: Charlotte Christiansen
Improving grid-based methods for estimating value-at-risk of fixed-income portfolios: Michael S. Gibson and Matthew Pritsker
A uniform approach to static replication: Andrew Chou and Galin Georgiev
Identification of investor's risk aversion in portfolio optimization: Alexei V. Gretchikha
Robust conditional variance estimation and value-at-risk: Cherif Guermat and Richard D. F. Harris
Is implied volatility an informationally efficient and effective predictor of future volatility?: Louis Ederington and Wei Guan
Evolving yield curves in the real-world measures: a semi-parametric approach: Riccardo Rebonato, Sukhdeep Mahal, Mark Joshi, Lars-Dierk Buchholz and Ken Nyholm
Bias and consistency of the maximum Sharpe ratio: Ross A. Maller, Robert B. Durand and Peter T. Lee
Testing a three-state model in currency derivative markets: Ako Doffou and Jimmy E. Hilliard
Modeling drawdowns and drawups in financial markets: Beatriz Vaz de Melo Mendes and Vinicius Ratton Brandi
Bits, bets, and making book on an index: George S. Oldfield
Incorporating severity variations into credit risk: Peter BÃ¼rgisser, Alexandre Kurth and and Armin Wagner
Optimal slice of a block trade: Hizuru Konishi and Naoki Makimoto
Regulatory evaluation of value-at-risk models: Jose A. Lopez
Insurance and reinsurance contracts as complex derivatives: Application to multiple peril policies: Alan R. Jung and Cyrus A. Ramezani
Arbitrage, martingales, and private monetary value: Robert Jarrow and Dilip B. Madan
Nonparametric estimation of copulas for time series: Jean-David Fermanian and Olivier Scaillet
Volatility modeling in the presence of measurement errors: Jonas Andersson and Anders Ã…gren
Forecasting portfolio risk in normal and stressed markets: Vineer Bhansali and Mark B. Wise
A portfolio optimization model for corporate bonds subject to credit risk: Nagisa Akutsu, Masaaki Kijima and Katsuya Komoribayashi
Optimization of conditional value-at-risk: R. Tyrrell Rockafellar and Stanislav Uryasev
Dynamic hedging with a deterministic local volatility function model: Thomas F. Coleman, Yohan Kim, Yuying Li and Arun Verma
Incorporating volatility updating into the historical simulation method for value-at-risk: John Hull and Alan White
Risk management and reporting risk in the UK: Philip Linsley and Philip Shrives
Portfolio allocation to corporate bonds with correlated defaults: Mark B. Wise and Vineer Bhansali
Unconstrained fitting of implied volatility surfaces using a mixture of normals: Riccardo Rebonato and Maria Teresa Cardoso
Credit default swap valuation with counterparty default risk and market risk: Mi Ae Kim and Tong Suk Kim
Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications: Peter JÃ¤ckel and Riccardo Rebonato
Optimal execution of portfolio transactions: Robert Almgren and Neil Chriss
A multivariate Markov model for simulating correlated defaults: Masaaki Kijima, Katsuya Komoribayashi and Eisuke Suzuki
Dependent defaults in models of portfolio credit risk: RÃ¼diger Frey and Alexander J. McNeil
Optimal option portfolios in markets with position limits and margin requirements: Mordecai Avriel and Haim Reisman
A new approach to component VaR: R. B. Carroll, T. Perry, H. Yang and A. Ho
An empirical comparison of methods for incorporating fat tails into value-at-risk models: Vijay Pant and Weita Chang
Optimal ALM strategies for defined benefit pension plans: Arun S. Muralidhar and Ronald J. P. van der Wouden
Swaptions and options: Don M. Chance
Risk analysis and the NIG distribution: Jostein LillestÃ¸l
Hedge funds revisited: distributional characteristics, dependence structure and diversification: HÃ©lyette Geman and CÃ©cile Kharoubi
Value-at-risk analysis of a leveraged swap: Sanjay Srivastava
An empirical investigation into credit spread indices: Jean-Luc Prigent, Olivier Renault and Olivier Scaillet
Decomposing portfolio value-at-risk: a general analysis: Winfried Hallerbach
Estimating economic capital allocations for market and credit risk: Paul Kupiec
Synchronizing multivariate financial time series: Francesco Audrino and Peter BÃ¼hlmann
The quantification of operational risk: Markus Leippold and Paolo Vanini
Fast computation of efficient portfolios: Antonio Marcos Duarte and Jr.
Risk management based on stochastic volatility: Ernst Eberlein and Jan Kallsen and JÃ¶rn Kristen
The effects of jump risks associated with the default rate on credit spreads: Chang Mo Ahn, Jangkoo Kang and Hwa-Sung Kim
Estimation risk in financial risk management: Peter Christoffersen and SÃlvia GonÃ§alves
Evaluating credit risk models using loss density forecasts: Hergen Frerichs and Gunter LÃ¶ffler
Misspecified copulas in credit risk models: how good is Gaussian?: Alfred Hamerle and Daniel RÃ¶sch
First Derivatives National Bank: a case problem in the management of interest rate risk: Richard J. Rendleman and Jr.
VAR risk measures vs traditional risk measures: an analysis and survey: Guy Kaplanski and Yoram Kroll
A percolation approach to modeling credit loss distribution under contagion: Sergio M. Focardi and Frank J. Fabozzi
Stress tests and risk capital: Paul H. Kupiec
A coherent framework for stress testing: Jeremy Berkowitz
Operational risk: a practitioner's view: Silvan EbnÃ¶ther and Paolo Vanini, Alexander McNeil and Pierre Antolinez
A dynamical model of market under- and overreaction: Jorge R. Sobehart and Ricardo Farengo
Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach: Dariush Mirfendereski and Riccardo Rebonato
Vega risk and the smile: Allan M. Malz
Derivatives and risk: the case of thrifts: Arthur M. B. Hogan and David H. Malmquist
Modeling and measuring operational risk: Marcelo Cruz, Rodney Coleman and and Gerry Salkin
Conditional value-at-risk in the presence of multiple probability measures: Craig Friedman
A risk-neutral approach to option pricing with jumps and diffusion: Francesco Antonuccio and Michael Proebsting
A robust test of Merton's structural model for credit risk: Robert Jarrow, Donald R. van Deventer and Xiaoming Wang
Numerically stable computation of Credit Risk+: Hermann Haaf, Oliver ReiÃŸ and John Schoenmakers
The structure of credit risk: spread volatility and ratings transitions: Rudiger Kiesel, William Perraudin and Alex P. Taylor
Measuring risk with the Bodie put when stocks exhibit mean reversion: Steven P. Feinstein
The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited: Robert R. Bliss and David C. Smith
Fifty years of UK asset price volatility: Nicola Anderson and Francis Breedon
An analysis of risk measures: Guojun Wu and Zhijie Xiao
A dynamic asset allocation model with downside risk control: Yonggan Zhao and William T. Ziemba
Value-at-risk estimation using non-integer degrees of freedom of Student's distribution: Veli-Pekka Heikkinen and Antti Kanto
Evaluating the risk of portfolios with options: Elizabeth A. Sheedy and Robert G. Trevor
Pricing corporate bonds with dynamic default barriers: Cho-Hoi Hui, Chi-Fai Lo and Shun-Wai Tsang
Analytical portfolio value-at-risk: Guy Kaplanski
A conditional independence approach for portfolio risk evaluation: Yukio Muromachi
Spaceâ€“time diversification: which dimension is better?: Moshe Milevsky
Large stock market price drawdowns are outliers: Anders Johansen and Didier Sornette
Evaluating covariance matrix forecasts in a value-at-risk framework: Jose A. Lopez and Christian A. Walter
Fallacies about the effects of market risk management systems: Philippe Jorion
Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation: J. H.Venter and P. J. de Jongh
Behavior of power prices: implications for the valuation and hedging of financial contracts: Karan Bhanot
Evaluation of credit risk of a portfolio with stochastic interest rate and default processes: Masaaki Kijima and Yukio Muromachi
Discrete hedging under piecewise linear risk minimization: Thomas F. Coleman, Yuying Li and Maria-Cristina Patron
Risk measurement with integrated market and credit portfolio models: Peter Grundke
Computation of value-at-risk for nonlinear portfolios: Andrey Feuerverger and Augustine C. M. Wong
Stochastic volatility and transaction time: an activity-based volatility estimator: Thierry AnÃ© and HÃ©lyette Geman
The Cornishâ€“Fisher expansion in the context of Deltaâ€“Gamma-normal approximations: Stefan R. Jaschke
The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes: Riccardo Rebonato and Peter JÃ¤ckel
VaR-x: Fat tails in financial risk management: Ronald Huisman and Rachel A. J. Pownall and Kees G. Koedijk
Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution: Andriy Andreev and Antti Kanto
Statistical benefits of value-at-risk with long memory: Andrea Beltratti and Claudio Morana
Measuring risk-adjusted performance: Michel Crouhy and Stuart M. Turnbull and Lee M. Wakeman
Market risk computation for nonlinear portfolios: Gerold Studer
Central bank vulnerability and the credibility of its commitments: a value-at-risk approach: Mario I. Blejer and Liliana Schumacher
A stress test to incorporate correlation breakdown: Jongwoo Kim and Christopher C. Finger
Value-at-risk in portfolio optimization: properties and computational approach: Alexei A. Gaivoronski and Georg Pflug
Intra-day periodicity and long-run volatility in short sterling futures: David G. McMillan and Alan E. H. Speight
Calculating credit risk capital charges with the one-factor model: Susanne Emmer and Dirk Tasche
The effect of taxes on the pricing of defaultable debt: Kian Guan Lim, Fenghua Song and Mitch Warachka
Firm specific option risk and implications for asset pricing: James S. Doran and Andy Fodor
Evaluating value-at-risk measures in the presence of long memory conditional volatility: Massimiliano Caporin
Stochastic programming and stable distributions in asset-liability management: Michael J. Grebeck and Svetlozar T. Rachev and Frank J. Fabozzi
Kernel quantile based estimation of expected shortfall: Keming Yu, Abdallah K. Ally, Shanchao Yang and David J. Hand
Mind the tails! Anticipatory risk management for target-date strategies: Joseph Simonian
How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices: Beat G. Briner and Gregory Connor
A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs: Abdul Q. M. Khaliq, David A. Voss and Greg E. Fasshauer
Testing hedges under the standard tranched credit pricing model: Christopher C. Finger
Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk: JosÃ© Alfredo JimÃ©nez and Viswanathan Arunachalam
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options: Marc Henrard
Risk estimation using the multivariate normal inverse Gaussian distribution: Kjersti Aas and Ingrid HobÃ¦k Haff and Xeni K. Dimakos
Value-at-risk and extreme value distributions for financial returns: Konstantinos Tolikas
Ordered contribution allocations: theoretical properties and applications: Patrick Cheridito and Eduard Kromer
The convergence of binomial trees for pricing the American put: Mark S. Joshi
A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs: A. Q. M. Khaliq, D. A. Voss and G. E. Fasshauer
Min-Max robust and CVaR robust mean-variance portfolios: Lei Zhu, Thomas F. Coleman and Yuying Li
The hidden risks of optimizing bond portfolios under VAR: Peter Winker and Dietmar Maringer
Joint and conditional transformed t mixture models with applications to financial and economic data: Craig Friedman, Wenbo Cao, Jinggang Huang and Yangyong Zhang
Minimizing tracking error while restricting the number of assets: Thomas F. Coleman, Yuying Li and Jay Henniger
Quality control of risk measures: backtesting VAR models: Victor H. de la Pena, Ricardo Rivera and Jesus Ruiz-Mata
Well ARMed and FiRM: diversification of mortgage loans for homebuyers: Kourosh M. Rasmussen and Stavros A. Zenios
GARCH-type volatility models based on Brownian inverse Gaussian intra-day return processes: J. H. Venter, P. J. de Jongh and G. Griebenow
Risk-minimization hedging under nonoptimal exercising: Dmitriy Levchenkov, Thomas F. Coleman and Yuying Li
Overcoming dimensional dependence of worst case scenarios and maximum loss: Thomas Breuer
Expansion methods applied to asset return distributions: Kohei Marumo and Rodney Wolff
Valuation and hedging of weather derivatives on monthly average temperature: Yuji Yamada
A perturbative formula to price barrier options with time-dependent parameters in the Black and Scholes world: Lorella Fatone, Maria Cristina Recchioni and Francesco Zirilli
Optimal portfolios from ordering information: Robert Almgren and Neil Chriss
Integrating multi-market risk models: Peter G. Shepard
Optimal early withdrawal and valuation of finite-horizon fund protection options: Tiong Wee Lim
Operational risk: analytical results when high-severity losses follow a generalized Pareto distribution (GPD) â€“ a note: Klaus BÃ¶cker
Fully flexible extreme views: Attilio Meucci, David Ardia and Simon Keel
Target-date funds: good news and bad news: Laurence Booth and Bin Chang
Rating targeting and dynamic economic capital: Esa Jokivuolle and Samu Peura
Capturing fat-tail risk in exchange rate returns using SU curves: a comparison with the normal mixture and skewed Student distributions: Pedro Gurrola
Tail approximation for credit risk portfolios with heavy-tailed risk factors: Krassimir Kostadinov
Competitive equilibrium in insurance markets under adverse selection and non-expected utility: Niousha Shahidi
Empirical likelihood for value-at-risk and expected shortfall: Rafet Evren Baysal and Jeremy Staum
A canonical optimal stopping problem for American options under a double exponential jump-diffusion model: Farid AitSahlia and Andreas Runnemo
Measuring concentration risk for regulatory purposes: Marc GÃ¼rtler, Martin Hibbeln and Clemens VÃ¶hringer
A data-driven optimization heuristic for downside risk minimization: Manfred Gilli, Evis KÃ«llezi and Hilda Hysi
Measure of financial risk using conditional extreme value copulas with EVT margins: Ahmed Ghorbel and Abdelwahed Trabelsi
A practical guide to volatility forecasting through calm and storm: Christian Brownlees, Robert Engle and Bryan Kelly
The influence of tracking error on volatility risk premium estimation: James S. Doran
Compound scenarios: an efficient framework for integrated marketâ€“credit risk: Ben De Prisco, Ian Iscoe, Yijun Jiang and Helmut Mausser
Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance: Csaba I. FÃ¡biÃ¡n and Anna VeszprÃ©mi
Optimal portfolio choice using the maximum Sharpe ratio: Ross A. Maller, Robert B. Durand and Hediah Jafarpour
Assessing the influence of spot price predictability on electricity futures hedging: HipÃ²lit TorrÃ³
Systematic credit cycle risk of financial collaterals: modeling and evidence: Marc GÃ¼rtler* and Dirk Heithecker
Measurement of large hedgers and large speculators' risk in major US futures markets: Ikhlaas Gurrib
Time-scaling of value-at-risk in GARCH(1,1) and AR(1)â€“GARCH(1,1) processes: Raymond Brummelhuis and Roger Kaufmann
A conditional approach for risk estimation: Beatriz Vaz de Melo Mendes
Dynamic asset allocation with jump risk: Weidong Xu, Chongfeng Wu, Weijun Xu and Hongyi Li
Efficient execution in the secondary mortgage market: a stochastic optimization model using CVaR constraints: Chung-Jui Wang and Stan Uryasev
On the aggregation of risk: Michael Brockmann and Michael Kalkbrener
Misspecified likelihood function and value-at-risk Italian banks' interest rate risk exposure: Ebenezer Asem
Backtesting market risk models in a standard normality framework: Kevin Dowd
Using contingent-claims analysis to value opportunities lost due to moral hazard risk: John D. Finnerty
Backtesting risk methodologies from one day to one year: Gilles Zumbach
Improved duration-based backtesting of value-at-risk: Markus Haas
A simple probabilistic approach to the pricing of credit default swap covenants: Etienne de Malherbe
The bond-stock yield differential as a risk indicator in financial markets: Giorgio Consigli, Leonard C. MacLean, Yonggan Zhao and William T. Ziemba
Instantaneous caps and floors on the short-rate: Snorre Lindset
Forecasting credit event frequency â€“ empirical evidence for West German firms: Alfred Hamerle, Thilo Liebig and Harald Scheule
Estimation risk in financial risk management: a correction: Daniel Giamouridis
How much is a model upgrade worth?: Sven Sandow and Jinggang Huang and Craig Friedman
Risk premium and non-smooth utility: Sjur Didrik FlÃ¥m
Algorithms for handling CVaR constraints in dynamic stochastic programming: C. Fabian and A. Veszpremi
Hedging under alternative stickiness assumptions: an empirical analysis for barrier options: Bernd Engelmann, Matthias Fengler and Peter Schwendner
Meanâ€“variance optimality of a retirement lump sum conversion strategy: implementation in Australia: Roger Gay
Achieving decorrelation and speed simultaneously in the Libor market model: Mark S. Joshi
Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets: David G. McMillan and Raquel Quiroga-Garcia
Markets, profits, capital, leverage and return: Peter Carr, Dilip B. Madan and Juan Jose Vicente Alvarez
A perturbative formula to price barrier options with time dependent parameters in the Black and Scholes world: Lorella Fatone, Maria Cristina Recchioni and Francesco Zirilli
Estimation and decomposition of downside risk for portfolios with non-normal returns: Kris Boudt, Brian Peterson and Christophe Croux
Backtesting within the trading book: Gerhard Stahl, Carsten S.Wehn* and Andreas Zapp
A value-at-risk analysis of credit default swaps: Burkhard Raunig and Martin Scheicher
Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory: Jan Viebig and Thorsten Poddig
Comparative analysis of total risk-based performance measures: Eero PÃ¤tÃ¤ri
Optimal early withdrawal and valuation of finite-horizon fund protection options: Tiong Wee Lim
The German model of risk distribution in supplementary occupational pensions: Csaba Burger and Gordon L. Clark
Empirical analysis of asymmetric long memory volatility models in value-at-risk estimation: Zouheir Mighri, Khaled Mokni and Faysal Mansouri
Estimating future transition probabilities when the value of side information decays, with applications to credit modeling: Craig Friedman, Jinggang Huang and Yangyong Zhang
Estimating foreign currency exposure in the Canadian Department of National Defence: Paul E. Desmier
Monte Carlo market Greeks in the displaced diffusion Libor market model: Mark S. Joshi and Oh Kang Kwon
Yield curve risk management: adjusting principal component analysis for model errors: Nicola Carcano
Hedging: scaling and the investor horizon: John Cotter and Jim Hanly
Alternative risk measures for alternative investments: A. Chabaane, J.-P. Laurent, Yannick Malevergne and F.Turpin
An estimation-free, robust conditional value-at-risk allocation model: Carlos Jabbour, Javier F. PeÃ±a, Juan C. Vera and Luis F. Zuluaga
An intensity-based non-parametric default model for residential mortgage portfolios: JÃ¼rg Burkhard and Enrico De Giorgi
Corporate risk management and speculative motives: Gregory W. Brown and Zeigham I. Khokher
The marginal price of risk with a VaR constraint: Larry Eisenberg
Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation: Klaus BÃ¶cker and Martin Hillebrand
The use of multiple risk management strategies: evidence from the natural gas industry: Christopher C. GÃ©czy, Bernadette A. Minton and Catherine Schrand
Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach: Sandra Gaisser, Christoph Memmel, Rafael Schmidt and Carsten S.Wehn
Scenario-based principal component value-at- risk when the underlying risk factors are skewed and heavy-tailed: an application to Italian banks' interest rate risk exposure: Roberta Fiori and Simonetta Iannotti
Longâ€“short portfolio optimization in the presence of discrete asset choice constraints and two risk measures: Ritesh Kumar, Gautam Mitra and Diana Roman
Pricing and performance of mutual funds: lookback versus interest rate guarantees: Nadine Gatzert and Hato Schmeiser
Efficient value-at-risk estimation for mortgage-backed securities: Chulwoo Han, Frank C. Park and Jangkoo Kang
On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares: Pui-Lam Leung and Wing-Keung Wong
Factor-risk-constrained mean-variance portfolio selection: formulation and global optimization solution approach: Shushang Zhu, Xueting Cui, Xiaoling Sun and Duan Li
A review of backtesting and backtesting procedures: Sean D. Campbell
Evaluation of credit portfolio models: test statistics for density-based tests: Kilian Plank and Roland Walter
Copula parameter estimation: numerical considerations and implications for risk management: Gregor N. F. WeiÃŸ
The price of pension risks: S. G. (Fieke) Van der Lecq and Adri W.I.M. Van der Wurff
Testing hedge effectiveness for option positions: Jeroen Kerkhof, Bertrand Melenberg and J. M. Schumacher*
A public guarantee of a minimum return to defined contribution pension scheme members: Giuseppe Grande and Ignazio Visco
Downside risk asset pricing revisited: a new non-linear threshold model: Jose Olmo
Stochastic kriging for efficient nested simulation of expected shortfall: Ming Liu and Jeremy Staum
Determinants of operational risk reporting in the banking industry: GÃ¼nther Helbok and Christian Wagner
Backtesting value-at-risk accuracy: a simple new test: Christophe Hurlin and Sessi Tokpavi *
The long-term risk caused by the stock market bubble: Kasimir Kaliva and Lasse Koskinen

Journal of Risk

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