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Journal of Risk

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1.

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

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2.

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)
3.

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
4.

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)
5.

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
6.

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
7.

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)
8.

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

9.

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
10.

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
11.

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

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12.

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 Hochschule für Oekonomie & Management
13.

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
14.

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

15.

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.
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16.

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
17.

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
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18.

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 Hochschule für Oekonomie & Management
Downloads 1
19.

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
20.

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
21.

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
22.

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

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23.

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

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24.

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
25.

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
26.

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
27.

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
28.

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
29.

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
30.

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 1
31.

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
32.

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

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33.

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

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34.

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
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35.

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

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36.

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

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37.

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
38.

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
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39.

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
40.

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 Applied Mathematics and Statistics and University of Texas at Austin
41.

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
42.

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

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43.

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
44.

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, Chinese University of Hong Kong - Department of Finance, The Hong Kong Polytechnic University - School of Accounting and Finance and Indiana University Purdue University Indianapolis (IUPUI)
45.

Pricing and Hedging Options with Rollover Parameters

Journal of Risk, Forthcoming
Posted: 19 May 2017
Accepted Paper Series
Hankuk University of Foreign Studies
46.

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)
47.

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
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48.

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
49.

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
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50.

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
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