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
There are 2 versions of this paper
Backtesting Expected Shortfall: A Simple Recipe?
Number of pages: 18
Posted: 11 Sep 2017
Last Revised: 10 Aug 2018
Downloads
90
Backtesting Expected Shortfall: A Simple Recipe?
Journal of Risk, Vol. 22, No. 1, 2019
Number of pages: 26
Posted: 01 Nov 2019
Downloads
1
Downloads
1
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
There are 2 versions of this paper
Static and Dynamic Risk Capital Allocations With the Euler Rule
Number of pages: 22
Posted: 13 Dec 2018
Last Revised: 27 Jun 2019
Downloads
50
Static and Dynamic Risk Capital Allocations with the Euler Rule
Journal of Risk, Forthcoming
Number of pages: 15
Posted: 09 Oct 2019
Downloads
1
Downloads
1
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
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
212
Second-Order Risk of Alternative Risk Parity Strategies
Journal of Risk, Forthcoming
Number of pages: 25
Posted: 04 Feb 2019
Downloads
1
Downloads
1
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
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
1,187
Covering the World: Global Evidence on Covered Calls
Journal of Risk, Forthcoming
Number of pages: 29
Posted: 21 Sep 2018
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
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
372
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
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
There are 2 versions of this paper
Forecasting Corporate Defaults in the German Stock Market
Number of pages: 42
Posted: 02 Sep 2016
Downloads
148
Forecasting Corporate Defaults in the German Stock Market
Journal of Risk, Forthcoming
Number of pages: 25
Posted: 30 Jul 2018
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
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
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
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
264
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 18 Apr 2018
Downloads
1
Downloads
1
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
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