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Journal of Risk

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Viewing: 1 - 50 of 143 papers

1.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014
Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 2,037
2.

Firm Specific Option Risk and Implications for Asset Pricing

Journal of Risk Vol 12, No.1, pp.17-52, Fall 2009
Number of pages: 37 Posted: 29 Sep 2007 Last Revised: 03 Aug 2010
Accepted Paper Series
Implied Capital Advisors and Ohio University
Downloads 532
3.

On the Aggregation of Local Risk Models for Global Risk Management

Journal of Risk, Vol. 8, No. 1, 2005
Number of pages: 20 Posted: 06 Jun 2005
Working Paper Series
University of California, Berkeley, Florida State University - Department of Mathematics, MSCI Barra, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research

Multiple version iconThere are 2 versions of this paper

Downloads 490
4.

Testing a Three - State Model in Currency Derivative Markets

Journal of Risk, Vol. 4, No. 3, 2002
Number of pages: 28 Posted: 19 Nov 2007
Accepted Paper Series
The Institute of International Studies
Downloads 464
5.

Risk Measures and the Impact of Asset Price Bubbles

Journal of Risk, 2015
Number of pages: 23 Posted: 20 Oct 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University, Samuel Curtis Johnson Graduate School of Management, Department of Finance and Accounting, Students
Downloads 423
6.

Better Risk and Performance Estimates with Factor Model Monte Carlo

Journal of Risk, June 2015
Number of pages: 21 Posted: 20 Jul 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
University of Washington Investment Management Company and University of Washington Applied Mathematics and Statistics
Downloads 287
7.

Pricing Corporate Bonds With Dynamic Default Barriers

Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
Number of pages: 25 Posted: 30 Apr 2007
Accepted Paper Series
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
Downloads 213
8.

Managing Option Trading Risk when Mental Accounting Influences Prices

Journal of Risk, 2015
Number of pages: 27 Posted: 12 Jan 2014 Last Revised: 10 Jun 2016
Accepted Paper Series
University of Queensland
Downloads 165
9.

The Influence of Tracking Error on Volatility Premium Estimation

Journal of Risk, Vol. 9, No. 3, 2007
Number of pages: 38 Posted: 22 Feb 2005
Accepted Paper Series
Implied Capital Advisors

Multiple version iconThere are 2 versions of this paper

Downloads 104
10.

Default Risk Charge: Modeling Framework for the 'Basel' Risk Measure

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28 Posted: 30 Mar 2017
Accepted Paper Series
BNP Paribas, London and BNP Paribas, London
Downloads 6
11.

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

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28 Posted: 30 Mar 2017
Accepted Paper Series
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 2
12.

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
13.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1
14.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1
15.

Are the GIPS Sovereign Debt Markets Efficient During a Crisis?

Journal of Risk, Vol. 19, No. S1, 2017
Number of pages: 14 Posted: 21 Apr 2017
Accepted Paper Series
Independent, Quaid-i-Azam University - School of Management Sciences and Universite de Cergy-Pontoise
Downloads 1
16.

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
17.

Basel III Implementation Outcome in Islamic Banks

Journal of Risk, Vol. 19, No. S1, 2017
Number of pages: 16 Posted: 24 Apr 2017
Accepted Paper Series
Quaid-i-Azam University - School of Management Sciences, Universite de Cergy-Pontoise and Asia e University (AeU)
Downloads 1
18.

Decomposition of Portfolio Risk into Independent Factors Using an Inductive Causal Search Algorithm

Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 20 Posted: 08 Oct 2016
Accepted Paper Series
Texas A&M University
Downloads 1
19.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1
20.

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 First University of Science & Technology (NKFUST) - Department of Finance and Banking and Beijing Normal University - Zhuhai Campus
Downloads 1
21.

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
22.

Modeling Redemption Risks of Mutual Funds Using Extreme Value Theory

Journal of Risk 18(6), 1–37 DOI:10.21314/JOR.2016.336 ,
Number of pages: 38 Posted: 26 Jul 2016
Accepted Paper Series
University of Kaiserslautern - Department of Mathematics and IPConcept (Luxemburg) S.A.
Downloads 1
23.

Nonparametric Forward-Looking Value-at-Risk

Journal of Risk, Vol. 16, No. 4, 2014
Number of pages: 22 Posted: 07 Jun 2016
Accepted Paper Series
Kyos Energy Consulting and Lund University - Department of Business Administration
Downloads 1
24.

Numerical Experiments on Hedging Cliquet Options

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 20 Posted: 09 Jun 2016
Accepted Paper Series
Frankfurt School of Finance & Management, Copenhagen Business School - Department of Finance and MathFinance AG
Downloads 1
25.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1
26.

The Application of Hermite Polynomials to Risk Allocation

Journal of Risk, Vol. 18, No. 3, 2016
Number of pages: 34 Posted: 15 Jun 2016
Accepted Paper Series
Ecole Normale Superieure de Cachan (ENS) and Barclays
Downloads 1
27.

The Management of Refinancing Risk in Islamic Banks

Journal of Risk, Vol. 17, No. 6, 2015
Number of pages: 20 Posted: 25 Jun 2016
Accepted Paper Series
Islamic Financial Analytics Limited
Downloads 1
28.

The Relationship between Credit Default Swap Spreads and Equity Prices

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 26 Posted: 09 Jun 2016
Accepted Paper Series
University of Essex, HSBC (London) and University of Essex - Essex Business School
Downloads 1
29.

The Signalling Properties of the Shape of the Credit Default Swap Term Structure

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 30 Posted: 29 Jun 2016
Accepted Paper Series
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and Bounded Rationality Advancement in Computational Intelligence Laboratory (BRACIL)
Downloads 1
30.

Time-Varying Beta and the Global Financial Crisis: Evidence from Chinese and Indian Firms

Journal of Risk, Vol. 19, No. S1
Number of pages: 26 Posted: 20 Apr 2017
Accepted Paper Series
Tunis El Manar University, University of Tunis and University of Tunis
Downloads 1
31.

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Journal of Risk, Vol. 8, No. 3, Spring 2006
Posted: 11 May 2006
Accepted Paper Series
University of Geneva - Department of Economics, Mirabaud & Cie and University of Geneva - Department of Econometrics

Multiple version iconThere are 2 versions of this paper

32.

A Fourier Approach to the Computation of Conditional Value-at-Risk and Optimized Certainty Equivalents

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 28 Posted: 09 Jun 2016
Accepted Paper Series
CAFR, University of Konstanz and Technische Universität Berlin (TU Berlin)
33.

A Fuzzy Data Envelopment Analysis Model for Evaluating the Efficiency of Socially Responsible and Conventional Mutual Funds

Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 14 Posted: 08 Oct 2016
Accepted Paper Series
University of Valencia, University of Valencia, University of Quebec at Montreal and Department of Quantitative Economics, Faculty of Economics and Business, University of Oviedo
34.

A Gradual Nonconvexification Method or Minimizing Value-at-Risk

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 26 Posted: 08 Jun 2016
Accepted Paper Series
University of Waterloo, University of Waterloo, University of Waterloo and University of Waterloo
35.

A New Bootstrap Test for Multiple Assets Joint Risk Testing

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 22 Posted: 30 Mar 2017
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam

Multiple version iconThere are 2 versions of this paper

36.

A One-Factor Copula-Based Model for Credit Portfolios

Journal of Risk, Vol. 17, No. 2, 2014
Number of pages: 40 Posted: 09 Jun 2016
Accepted Paper Series
University of Economics
37.

A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 18 Posted: 24 Jun 2016
Accepted Paper Series
ETH Zurich and AQR Capital Management, LLC
38.

A Simple Normal Inverse Gaussian-Type Approach to Calculate Value-at-Risk Based on Realized Moments

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 18 Posted: 24 Jun 2016
Accepted Paper Series
Martin Luther Universitat Halle Wittenberg
39.

A Simple Probabilistic Approach to the Pricing of Credit Default Swap Covenants

Journal of Risk, Vol. 8, No. 3, Spring 2006, Rabobank International Working Paper
Posted: 26 Sep 2003
Accepted Paper Series
BNP Paribas, London
40.

A Taylor Series Approach to Pricing and Implied Volatility for Local–Stochastic Volatility Models

Journal of Risk, Vol. 17, No. 2, 2014
Number of pages: 18 Posted: 09 Jun 2016
Accepted Paper Series
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
41.

A Test for the Equality of Multiple Sharpe Ratios

Journal of Risk, Vol. 16, No. 4, 2014
Number of pages: 20 Posted: 07 Jun 2016
Accepted Paper Series
The Chinese University of Hong Kong, The Chinese University of Hong Kong. Department of Statistics and The University of Hong Kong
42.

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
43.

Acceptability Bounds for Forward Starting Options Using Disciplined Convex Programming

Journal of Risk, Forthcoming
Number of pages: 13 Posted: 12 Oct 2016
Accepted Paper Series
University of Maryland - Robert H. Smith School of Business and Morgan Stanley

Multiple version iconThere are 2 versions of this paper

44.

Advanced Risk Profile Analysis of Islamic Equity Investment: Evidence from the American, Asian and European Markets

Journal of Risk, Vol. 17, No. 6, 2015
Number of pages: 28 Posted: 24 Jun 2016
Accepted Paper Series
Universite de Cergy-Pontoise and Université Paris VI Pierre et Marie Curie
45.

Alternative Hedging in a Discrete-Time Incomplete Market

Journal of Risk, Vol. 16, No. 1, 2013
Number of pages: 34 Posted: 07 Jun 2016
Accepted Paper Series
Bentley University - Department of Mathematical Sciences, Bentley University and Bentley University
46.

Analytical Method of Computing Stressed Value-at-Risk with Conditional Value-at-Risk

Journal of Risk, Forthcoming
Number of pages: 22 Posted: 14 Dec 2016
Accepted Paper Series
Hongik University
47.

Applying the Cornish-Fisher Expansion to Value-at-Risk Estimation in Islamic Banking

Journal of Risk, Vol. 17, No. 6, 2015
Number of pages: 22 Posted: 25 Jun 2016
Accepted Paper Series
Islamic Research & Training Institute, Islamic Development Bank
48.

Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 26 Posted: 07 Jun 2016
Accepted Paper Series
HEC Montréal

Multiple version iconThere are 2 versions of this paper

49.

Are Traders’ Rules Useful for Pricing Options? Evidence from Intraday Data

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 22 Posted: 09 Jun 2016
Accepted Paper Series
Hankuk University of Foreign Studies
50.

Asymptotic Equivalence of Conservative Value-at-Risk- and Expected Shortfall-Based Capital Charges

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 20 Posted: 08 Jun 2016
Accepted Paper Series
University of Florence - Department of Economics and Management and University of Freiburg