Journal of Risk

From Journal of Risk
Bibliographic data for series maintained by Thomas Paine (maintainer@infopro-digital.com).

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Undated

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

On this page

On this page