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Journal of Risk

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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 Guggenheim Partners, LLC
Downloads 1,919
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 528
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 488
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 376
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 265
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 210
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 154
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 102
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 3
11.
Downloads 2
12.

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
13.

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
14.

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
15.

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
16.

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
17.

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
18.

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
19.

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
20.

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
21.

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
22.

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
Geneva School of Economics and Management (GSEM), Mirabaud & Cie and University of Geneva - Department of Econometrics

Multiple version iconThere are 2 versions of this paper

23.

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)
24.

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
25.

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
26.

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 Vrije Universiteit Amsterdam - Dept. of Econometrics

Multiple version iconThere are 2 versions of this paper

27.

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
28.

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
29.

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
30.

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
31.

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
32.

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
33.

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

34.

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
35.

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
36.

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
37.

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
38.

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

39.

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
40.

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
41.

Backtesting within the Trading Book

Journal of Risk, Vol. 8, No. 2, Winter 2005-2006
Posted: 10 May 2006
Accepted Paper Series
European Union - Committee of the Regions, Deutsche Bundesbank and BaFin
42.

Basel II Versus III: A Comparative Assessment of Minimum Capital Requirements for Internal Model Approaches

Journal of Risk, Vol. 18, No. 3, 2016
Number of pages: 22 Posted: 14 Jun 2016
Accepted Paper Series
Passau University

Multiple version iconThere are 2 versions of this paper

43.

Basket Default Swaps, CDOs and Factor Copulas

Journal of Risk, Forthcoming
Posted: 07 Nov 2005
Accepted Paper Series
Independent and Université Paris I Panthéon-Sorbonne - Laboratoire PRISM
44.

Bayesian Synthesis of Portfolio Credit Risk with Missing Ratings

Journal of Risk, Vol. 18, No. 1, 2015
Number of pages: 26 Posted: 25 Jun 2016
Accepted Paper Series
University of South Florida
45.

Bias and Consistency of the Maximum Sharpe Ratio

Journal of Risk, Vol. 7, No. 4, Summer 2005
Posted: 08 Nov 2005
Accepted Paper Series
Australian National University (ANU) - School of Finance and Applied Statistics, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking and affiliation not provided to SSRN
46.

Biases in Estimating Bank Loan Default Probabilities

Journal of Risk, Vol. 7, No. 4, Summer 2005
Posted: 08 Nov 2005
Accepted Paper Series
University of Cologne
47.

Calculating Credit Risk Capital Charges with the One-factor Model

Journal of Risk, Vol. 7, No. 2, pp. 85-103, Winter 2004/05
Posted: 28 Apr 2005
Accepted Paper Series
Dr. Nagler & Company GmbH and Deutsche Bundesbank
48.

Capital Allocation with Value-at-Risk - The Case of Informed Traders and Herding

Journal of Risk, Vol. 7, No. 4, Summer 2005
Posted: 08 Nov 2005
Accepted Paper Series
University of Hohenheim and KG Allgemeine Leasing (KGAL)
49.

Capturing Fat Tail Risk in Exchange Rate Returns using SU-curves: A Comparison with the Normal Mixture and Skewed Student Distributions

Journal of Risk, Vol. 10, No. 2, 2007-2008
Posted: 19 Dec 2008
Accepted Paper Series
European Business School (UK)
50.

Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 34 Posted: 09 Jun 2016
Accepted Paper Series
Vienna University of Economics and Business, WU Vienna University of Economics and Business, WU (Vienna University of Economics and Business), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Institute for Advanced Studies (IHS)