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Journal of Risk

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1.

Crash Risk Exposure, Diversification and Cost of Equity Capital: Evidence From a Natural Experiment in China

Journal of Risk, Vol. 22, No. 1, 2019
Number of pages: 32 Posted: 01 Nov 2019
Accepted Paper Series
Guangxi University and Guangxi University
Downloads 1
2.

Backtesting Expected Shortfall: A Simple Recipe?

Journal of Risk, Vol. 22, No. 1, 2019
Number of pages: 26 Posted: 01 Nov 2019
Accepted Paper Series
Independent and Jagiellonian University in Krakow

Multiple version iconThere are 2 versions of this paper

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3.

Measuring the Systemic Risk of China’s Banking Sector: An Application of Differential Debtrank

Journal of Risk, Forthcoming
Number of pages: 24 Posted: 12 Oct 2019
Accepted Paper Series
Central South University - School of Business, Central South University - School of Business, Central South University - School of Business and Independent
Downloads 1
4.

Static and Dynamic Risk Capital Allocations with the Euler Rule

Journal of Risk, Forthcoming
Number of pages: 15 Posted: 09 Oct 2019
Accepted Paper Series
University of Amsterdam

Multiple version iconThere are 2 versions of this paper

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5.

Nonparametric versus Parametric Expected Shortfall

Journal of Risk, Vol. 21, No. 6, 2019
Number of pages: 42 Posted: 20 Aug 2019
Accepted Paper Series
Independent and HomeStreet Bank
Downloads 1
6.

The Efficiency of the Anderson–Darling Test With a Limited Sample Size: An Application to Backtesting Counterparty Credit Risk Internal Models

Journal of Risk, Vol. 21, No. 6, 2019
Number of pages: 32 Posted: 20 Aug 2019
Accepted Paper Series
LIUC, UBS Business Solutions AG, UniCredit Group and UniCredit Group
Downloads 1
7.

Parameter Estimation, Bias Correction and Uncertainty Quantification in the Vasicek Credit Portfolio Model

Journal of Risk 22(4), 1–29, 2020, Forthcoming,
Number of pages: 29 Posted: 08 Aug 2019
Accepted Paper Series
University of Erlangen-Nuremberg (FAU), University of Regensburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Regensburg
Downloads 1
8.

Estimating Maturity Profiles of Nonmaturing Deposits

Journal of Risk, Forthcoming
Number of pages: 21 Posted: 01 Aug 2019
Accepted Paper Series
Independent and University of the Witwatersrand
Downloads 1
9.

Recursive Estimation of the Exponentially Weighted Moving Average Model

Journal of Risk, Forthcoming
Number of pages: 24 Posted: 26 Jul 2019
Accepted Paper Series
Charles University in Prague and Charles University of Prague
Downloads 1
10.

Rating Migrations of US Financial Institutions: Are Different Outcomes Equivalent?

Journal of Risk, Forthcoming
Number of pages: 36 Posted: 19 Jul 2019
Accepted Paper Series
University of Canterbury
Downloads 1
11.

Making Cornish–Fisher Fit for Risk Measurement

Journal of Risk, Vol. 21, No. 5, 2019
Number of pages: 30 Posted: 19 Jun 2019
Accepted Paper Series
University of Aberdeen - Business School, University of Surrey and Loughborough University - School of Business and Economics
Downloads 1
12.

Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk

Journal of Risk, Vol. 21, No. 5, 2019
Number of pages: 28 Posted: 19 Jun 2019
Accepted Paper Series
HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Decision Sciences
Downloads 1
13.

From Log-Optimal Portfolio theory to Risk Measures: Logarithmic Expected Shortfall

Journal of Risk, Forthcoming
Number of pages: 22 Posted: 10 Jun 2019
Accepted Paper Series
University of Brescia - Department of Information Engineering, University of Brescia - Department of Information Engineering and University of Brescia - Department of Information Engineering
Downloads 1
14.

A Generic Stress Testing Framework with Related Economic Shocks and Possible Regulatory Intervention

Journal of Risk, Forthcoming
Number of pages: 24 Posted: 31 May 2019
Accepted Paper Series
Texas A&M University-Commerce – Economics and Finance Department and PNC Financial Services Group, Inc.
Downloads 1
15.

Could Holding Multiple Safe Havens Improve Diversification in a Portfolio? The Extended Skew-T Vine Copula Approach

Journal of Risk, Vol. 21, No. 4, 2019
Number of pages: 32 Posted: 02 May 2019
Accepted Paper Series
Hubei University, Central University of Finance and Economics (CUFE) and Southwestern University of Finance and Economics (SWUFE)
Downloads 2
16.

Loss Given Default Estimation: A Two-Stage Model with Classification Tree-Based Boosting and Support Vector Logistic Regression

Journal of Risk, Vol. 21, No. 4, 2019
Number of pages: 20 Posted: 02 May 2019
Accepted Paper Series
The Institute of Statistical Mathematics and The Institute of Statistical Mathematics
Downloads 2
17.

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
18.

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
19.

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
20.

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

Multiple version iconThere are 2 versions of this paper

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21.

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)
Downloads 1
22.

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
Downloads 1
23.

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)
24.

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
25.

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
26.

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)
27.

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

Multiple version iconThere are 2 versions of this paper

28.

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
29.

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
30.

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

Multiple version iconThere are 2 versions of this paper

Downloads 2
31.

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
32.

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
33.

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

Multiple version iconThere are 2 versions of this paper

34.

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
35.

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
36.

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
37.

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
38.

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
39.

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
40.

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
41.

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

Multiple version iconThere are 2 versions of this paper

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42.

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

Multiple version iconThere are 2 versions of this paper

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43.

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
44.

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
45.

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
46.

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
47.

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
48.

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
49.

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
50.

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