1.
The Implicit Constraints of Fundamental Review of the Trading Book Profit-and-Loss-Attribution Testing and a Possible Alternative Framework
Journal of Risk, 21(4), 1–16, 2019,
Number of pages: 16
Posted: 04 Apr 2019
Accepted Paper Series
Intesa SanPaolo SpA, Intesa SanPaolo SpA and Intesa SanPaolo SpA
Downloads
1
2.
The Implications of Value-at-Risk and Short-Selling Restrictions for Portfolio Manager Performance
Journal of Risk, Vol. 21, No. 3, 2019
Number of pages: 28
Posted: 05 Mar 2019
Accepted Paper Series
Independent and World Bank
Downloads
1
3.
Range-Based Volatility Forecasting: An Extended Conditional Autoregressive Range Model
Journal of Risk, Vol. 21, No. 3, 2019
Number of pages: 26
Posted: 01 Mar 2019
Accepted Paper Series
University of International Business and Economics and Anhui University of Finance and Economics
Downloads
1
4.
Second-Order Risk of Alternative Risk Parity Strategies
Journal of Risk, Forthcoming
Number of pages: 25
Posted: 04 Feb 2019
Accepted Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
There are 2 versions of this paper
Second-Order Risk of Alternative Risk Parity Strategies
Number of pages: 30
Posted: 26 Dec 2017
Last Revised: 08 Feb 2019
Downloads
176
Second-Order Risk of Alternative Risk Parity Strategies
Journal of Risk, Forthcoming
Number of pages: 25
Posted: 04 Feb 2019
Downloads
1
Downloads
1
5.
Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model
Journal of Risk, Vol. 21, No. 2, 2018
Number of pages: 26
Posted: 14 Dec 2018
Accepted Paper Series
Independent and Catholic University of Brazil (UCB)
6.
Asymmetry Herding Behavior of Real Estate Investment Trusts: Evidence from Information Demand
Journal of Risk, Vol. 21, No. 2, 2018
Number of pages: 40
Posted: 14 Dec 2018
Accepted Paper Series
Beijing Normal University - Zhuhai Campus, Beijing Normal University - Zhuhai Campus and National Chengchi University (NCCU) - Department of Finance
7.
Measuring Latent Risk Preferences: Minimizing Measurement Biases
Journal of Risk, Forthcoming
Number of pages: 21
Posted: 30 Oct 2018
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
8.
Balance-Sheet Interest Rate Risk: A Weighted Lp Approach
Journal of Risk, Vol. 21, No. 1, 2018
Number of pages: 14
Posted: 19 Oct 2018
Accepted Paper Series
Lodz University of Technology and Lodz University of Technology
9.
A Three-State Early Warning System for the European Union
Journal of Risk, Vol. 21, No. 1, 2018
Number of pages: 36
Posted: 19 Oct 2018
Accepted Paper Series
Democritus University of Thrace, affiliation not provided to SSRN, University of Texas at Austin - Red McCombs School of Business and Virginia Commonwealth University (VCU) - Department of Finance, Insurance & Real Estate
10.
A General Framework for Constructing Bank Risk Data Sets
Journal of Risk, Forthcoming
Number of pages: 23
Posted: 11 Oct 2018
Accepted Paper Series
Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS) and Chinese Academy of Sciences (CAS)
11.
Covering the World: Global Evidence on Covered Calls
Journal of Risk, Forthcoming
Number of pages: 29
Posted: 21 Sep 2018
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Covering the World: Global Evidence on Covered Calls
Number of pages: 24
Posted: 28 Jun 2017
Last Revised: 21 Jul 2017
Downloads
1,148
Covering the World: Global Evidence on Covered Calls
Journal of Risk, Forthcoming
Number of pages: 29
Posted: 21 Sep 2018
12.
Optimal Hedge Ratios Based on Markov-Switching Dynamic Copula Models
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 20
Posted: 31 Aug 2018
Accepted Paper Series
Minzu University of China
Downloads
1
13.
Equity Market Impact Modeling: An Empirical Analysis for the Chinese Market
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 24
Posted: 31 Aug 2018
Accepted Paper Series
Peking University - School of Mathematical Sciences, Peking University and Peking University - School of Mathematical Sciences
Downloads
1
14.
A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 30
Posted: 31 Aug 2018
Accepted Paper Series
CIBC World Markets - Risk Quant, Capital Markets, CIBC
There are 2 versions of this paper
A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies
Number of pages: 27
Posted: 09 Aug 2017
Last Revised: 09 Jun 2018
Downloads
333
A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 30
Posted: 31 Aug 2018
Downloads
2
Downloads
2
15.
New Backtests for Unconditional Coverage of Expected Shortfall
Journal of Risk, 21(4), 1–21,
Number of pages: 21
Posted: 14 Aug 2018
Accepted Paper Series
Technical University of Dortmund, University of Cologne and FOM Fachhochschule für Oekonomie & Management gGmbH
16.
Chaotic Behavior in Financial Market Volatility
Journal of Risk, Forthcoming
Number of pages: 27
Posted: 31 Jul 2018
Accepted Paper Series
Independent, LaREMFiQ - IHEC, University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and Independent
17.
Forecasting Corporate Defaults in the German Stock Market
Journal of Risk, Forthcoming
Number of pages: 25
Posted: 30 Jul 2018
Accepted Paper Series
University of Bremen - Department of Business Administration, University of Bremen and University of Bremen - Department of Business Administration
There are 2 versions of this paper
Forecasting Corporate Defaults in the German Stock Market
Number of pages: 42
Posted: 02 Sep 2016
Downloads
137
Forecasting Corporate Defaults in the German Stock Market
Journal of Risk, Forthcoming
Number of pages: 25
Posted: 30 Jul 2018
18.
BV–VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equity Markets
Journal of Risk, Forthcoming
Number of pages: 35
Posted: 30 Jul 2018
Accepted Paper Series
University of Queensland Business School, Columbia University and Quantal International Inc.
Downloads
1
19.
Multifactor Granularity Adjustments for Market and Counterparty Risks
Journal of Risk, Forthcoming
Number of pages: 27
Posted: 26 Jul 2018
Accepted Paper Series
Ensae-Crest and affiliation not provided to SSRN
20.
Risk Averse Fractional Trading Using the Current Drawdown
Journal of Risk, Vol. 20, No. 5, 2018
Number of pages: 26
Posted: 28 Jun 2018
Accepted Paper Series
RWTH Aachen University
Downloads
1
21.
Estimation Window Strategies for Value-at-Risk and Expected Shortfall Forecasting
Journal of Risk, Vol. 20, No. 5, 2018
Number of pages: 50
Posted: 28 Jun 2018
Accepted Paper Series
University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and FOM Fachhochschule für Oekonomie & Management gGmbH
Downloads
1
22.
Impact of D-Vine Structure on Risk Estimation
Journal of Risk, Forthcoming
Number of pages: 32
Posted: 14 May 2018
Accepted Paper Series
University of Barcelona - Department of Econometrics, University of Barcelona and University of Barcelona
23.
The CoCVaR Approach: Systemic Risk Contribution Measurement
Journal of Risk, Vol. 20, No. 4, 2018
Number of pages: 20
Posted: 07 May 2018
Accepted Paper Series
Northeastern University and University of Florida
24.
Genetic Algorithm-Based Portfolio Optimization with Higher Moments in Global Stock Markets
Journal of Risk, Vol. 20, No. 4, 2018
Number of pages: 26
Posted: 07 May 2018
Accepted Paper Series
Indian Institute of Technology (IIT), Madras - Department of Humanities and Social Sciences and affiliation not provided to SSRN
25.
Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing
Journal of Risk, Forthcoming
Number of pages: 33
Posted: 19 Apr 2018
Accepted Paper Series
University of Queensland - Business School, University of Hamburg and University of Queensland Business School
There are 2 versions of this paper
Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing
Journal of Risk, Forthcoming
Number of pages: 33
Posted: 19 Apr 2018
Downloads
1
Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing
Journal of Risk, Forthcoming
Posted: 15 Aug 2018
Downloads
1
26.
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 18 Apr 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology
There are 2 versions of this paper
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 24
Posted: 31 May 2016
Last Revised: 07 Feb 2017
Downloads
263
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 18 Apr 2018
Downloads
1
Downloads
1
27.
International and Temporal Diversifications: The Best of Both Worlds?
Journal of Risk, 2018
Number of pages: 28
Posted: 29 Mar 2018
Accepted Paper Series
ESCP Europe, ESCP Europe and ESCP Europe
Downloads
1
28.
Mostly Prior-Free Asset Allocation
Journal of Risk, Forthcoming
Number of pages: 34
Posted: 16 Feb 2018
Accepted Paper Series
New York University (NYU) - Department of Economics
Downloads
1
29.
Valuing Streams of Risky Cashflows With Risk-value Models
Journal of Risk, Vol. 20, No. 3, 2018
Number of pages: 28
Posted: 12 Feb 2018
Accepted Paper Series
University of Regensburg - Department of Finance and Independent
Downloads
3
30.
The Quickest Way to Lose the Money You Cannot Afford to Lose: Reverse Stress Testing With Maximum Entropy
Journal of Risk, Vol. 20, No. 3, 2018
Number of pages: 12
Posted: 12 Feb 2018
Accepted Paper Series
EDHEC Business School
Downloads
1
31.
Optimal Equity Protection of Solvency II Regulated Portfolios
Journal of Risk, Vol. 20, No. 3, 2018
Number of pages: 14
Posted: 09 Feb 2018
Accepted Paper Series
SYZ Asset Management SA
Downloads
2
32.
Initial Margin With Risky Collateral
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 02 Feb 2018
Accepted Paper Series
Ernst & Young LLP, Ernst & Young LLP and Ernst & Young LLP
Downloads
1
33.
Estimation Risk for Value-at-Risk and Expected Shortfall
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 29 Jan 2018
Accepted Paper Series
La Trobe University and La Trobe University - Department of Mathematics and Statistics
Downloads
2
34.
Determinants of Foreign Exchange Risk: Some Further Evidence
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 26
Posted: 07 Dec 2017
Accepted Paper Series
National Kaohsiung University of Science and Technology - Department of Finance and Banking and Beijing Normal University - Zhuhai Campus
Downloads
1
35.
A Model for the Valuation of Assets with Liquidity Risk
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 26
Posted: 07 Dec 2017
Accepted Paper Series
DNB
There are 2 versions of this paper
A Model for the Valuation of Assets with Liquidity Risk
Number of pages: 26
Posted: 09 Nov 2015
Last Revised: 19 Sep 2016
Downloads
176
A Model for the Valuation of Assets with Liquidity Risk
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 26
Posted: 07 Dec 2017
Downloads
1
Downloads
1
36.
An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 32
Posted: 07 Dec 2017
Accepted Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies
There are 2 versions of this paper
An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Number of pages: 44
Posted: 23 May 2015
Downloads
51
An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 32
Posted: 07 Dec 2017
Downloads
1
Downloads
1
37.
A Darwinian View on Internal Models
Journal of Risk, Vol. 20, No. 1, 2017
Number of pages: 22
Posted: 01 Nov 2017
Accepted Paper Series
Swiss Federal Institute of Technology Zurich
Downloads
1
38.
Risk Management and Regulation
Journal of Risk, Vol. 21, No. 1, 2017
Number of pages: 36
Posted: 01 Nov 2017
Accepted Paper Series
International Monetary Fund
There are 2 versions of this paper
Risk Management and Regulation
CEPR Discussion Paper No. DP12422
Number of pages: 35
Posted: 06 Nov 2017
Last Revised: 14 Nov 2017
Downloads
6
Risk Management and Regulation
Journal of Risk, Vol. 21, No. 1, 2017
Number of pages: 36
Posted: 01 Nov 2017
Downloads
1
Downloads
1
39.
Derivatives Pricing Under Bilateral Counterparty Risk
Journal of Risk, Forthcoming
Number of pages: 31
Posted: 17 Oct 2017
Accepted Paper Series
New York University Finance and Risk Engineering and Office of Financial Research, US Department of the Treasury
There are 2 versions of this paper
Derivatives Pricing Under Bilateral Counterparty Risk
FEDS Working Paper No. 2015-026, http://dx.doi.org/10.17016/FEDS.2015.026
Number of pages: 29
Posted: 05 May 2015
Downloads
69
Derivatives Pricing Under Bilateral Counterparty Risk
Journal of Risk, Forthcoming
Number of pages: 31
Posted: 17 Oct 2017
Downloads
1
Downloads
1
40.
Asset Price Bubbles and Risk Management
Journal of Risk, Forthcoming
Number of pages: 17
Posted: 06 Oct 2017
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
1
41.
A Vine Copula–GARCH Approach to Corporate Exposure Management
Journal of Risk, 20(2), 1–25 DOI:10.21314/JOR.2017.368
,
Number of pages: 25
Posted: 24 Aug 2017
Accepted Paper Series
Chatham Financial, Chatham Financial - Europe, Chatham Financial and Chatham Financial
Downloads
1
42.
Estimating the Tail Shape Parameter from Option Prices
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26
Posted: 04 Aug 2017
Accepted Paper Series
University of Pennsylvania
43.
Inefficiency and Bias of Modified Value-at-Risk and Expected Shortfall
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26
Posted: 04 Aug 2017
Accepted Paper Series
University of Washington and University of Texas at Austin
44.
Comparing Multivariate Volatility Forecasts by Direct and Indirect Approaches
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 26
Posted: 04 Aug 2017
Accepted Paper Series
University of Salerno and University of Salerno
45.
Risk Management for Private Equity Funds
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 32
Posted: 04 Aug 2017
Accepted Paper Series
University of Passau
There are 2 versions of this paper
Risk Management for Private Equity Funds
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 32
Posted: 04 Aug 2017
Downloads
1
Downloads
1
46.
Optimal Execution of Accelerated Share Repurchase Contracts with Fixed Notional
Journal of Risk, Vol. 19, No. 5, 2017
Number of pages: 24
Posted: 01 Jun 2017
Accepted Paper Series
Université Paris VII Denis Diderot
Downloads
1
47.
On Empirical Likelihood Option Pricing
Journal of Risk, Vol. 19, No. 5, 2017
Number of pages: 14
Posted: 01 Jun 2017
Accepted Paper Series
Amazon.com, The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Hong Kong Polytechnic University - School of Accounting and Finance and Indiana University Purdue University Indianapolis (IUPUI)
48.
Pricing and Hedging Options with Rollover Parameters
Journal of Risk, Forthcoming
Posted: 19 May 2017
Accepted Paper Series
Hankuk University of Foreign Studies
49.
Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?
Journal of Risk, Forthcoming
Posted: 13 May 2017
Accepted Paper Series
National University of Singapore - Department of Finance and City University of Hong Kong (CityUHK)
50.
Liquidity Risk Management Implementation for Selected Islamic Banks in Pakistan
Journal of Risk, Vol. 19, No. S1, 2017
Number of pages: 14
Posted: 24 Apr 2017
Accepted Paper Series
Quaid-i-Azam University - School of Management Sciences, University of Lahore, School of Accountancy and Finance and Universite de Cergy-Pontoise
Downloads
1
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