SSRN Journal of Risk

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

David H. Bailey and Marcos Lopez de Prado

Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC

Downloads 1,961

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

James Doran and Andy Fodor

Implied Capital Advisors and Ohio University

Downloads 529

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

Lisa R. Goldberg, Alec N. Kercheval, C. Greg Anderson, Guy Miller and Kathy Sorge

University of California, Berkeley, Florida State University - Department of Mathematics, MSCI Barra, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research

There are 2 versions of this paper

Downloads 489

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

Ako Doffou

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

Robert A. Jarrow and Felipe Bastos G. Silva

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 378

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

Yindeng Jiang and R. Douglas Martin

University of Washington Investment Management Company and University of Washington Applied Mathematics and Statistics

Downloads 270

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

Cho-Hoi Hui, Chi-Fai Lo and S. W. Tsang

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

Hammad Siddiqi

University of Queensland

Downloads 158

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

James Doran

Implied Capital Advisors

There are 2 versions of this paper

Downloads 103

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

Sascha Wilkens and Mirela Predescu

BNP Paribas, London and BNP Paribas, London

Downloads 4

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

Hany Farag

CIBC World Markets - Risk Quant, Capital Markets, CIBC

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

Bachar Fakhry, Omar Masood and Mondher Bellalah

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

Omar Masood, Mondher Bellalah and Shahid Ghauri

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

Brian D. Deaton

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

Omar Masood, Javaria Younas and Mondher Bellalah

Quaid-i-Azam University - School of Management Sciences, University of Lahore, School of Accountancy and Finance and Universite de Cergy-Pontoise

Downloads 1

16.

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

Sascha Desmettre and Matthias Deege

Karlsruhe Institute of Technology - Department of Mathematics and IPConcept (Luxemburg) S.A.

Downloads 1

17.

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

Marcus Nossman and Anders Vilhelmsson

Kyos Energy Consulting and Lund University - Department of Business Administration

Downloads 1

18.

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

Fiodar Kilin, Morten Nalholm and Uwe Wystup

Frankfurt School of Finance & Management, Copenhagen Business School - Department of Finance and MathFinance AG

Downloads 1

19.

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

Francois Buet-Golfouse and Anthony D. Owen

Ecole Normale Superieure de Cachan (ENS) and Barclays

Downloads 1

20.

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

Kenneth Baldwin

Islamic Financial Analytics Limited

Downloads 1

21.

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

Jenny Castellanos, Nick Constantinou and Wing Lon Ng

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

22.

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

Jihed Majdoub, Ines Ben Bouhouch and Ben Sassi Salim II

Tunis El Manar University, University of Tunis and University of Tunis

Downloads 1

23.

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

Manfred Gilli, Evis Këllezi and Hilda Hysi

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

There are 2 versions of this paper

24.

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

Samuel Drapeau, Michael Kupper and Antonis Papapantoleon

CAFR, University of Konstanz and Technische Universität Berlin (TU Berlin)

25.

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

I. Baeza-Sampere, Vicente Coll, Bouchra Mzali and Paz Méndez-Rodríguez

University of Valencia, University of Valencia, University of Quebec at Montreal and Department of Quantitative Economics, Faculty of Economics and Business, University of Oviedo

26.

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

Jiong Xi, Thomas F Coleman, Yuying Li and Aditya Tayal

University of Waterloo, University of Waterloo, University of Waterloo and University of Waterloo

27.

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

David Ardia, Lukasz T. Gatarek and Lennart F. Hoogerheide

University of Neuchatel - Institute of Financial Analysis, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam - Dept. of Econometrics

There are 2 versions of this paper

28.

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

Marek Kolman

University of Economics

29.

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

Patrick Cheridito and Zhikai Xu

ETH Zurich and AQR Capital Management, LLC

30.

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

Christian Lau

Martin Luther Universitat Halle Wittenberg

31.

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

Etienne de Malherbe

BNP Paribas, London

32.

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

Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics

33.

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

John A. Wright, S. C. P. Yam and Siu Pang Yung

The Chinese University of Hong Kong, The Chinese University of Hong Kong. Department of Statistics and The University of Hong Kong

34.

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

Christopher M. Wells, Ahmad Farhat, Christopher Richardson and T. Ryan Deering

Chatham Financial, Chatham Financial - Europe, Chatham Financial and Chatham Financial

35.

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

Dilip B. Madan and King Wang

University of Maryland - Robert H. Smith School of Business and Morgan Stanley

There are 2 versions of this paper

36.

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

Mondher Bellalah and Chayeh Zeineb

Universite de Cergy-Pontoise and Université Paris VI Pierre et Marie Curie

37.

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

Norman Josephy, Lucia Kimball and Victoria Steblovskaya

Bentley University - Department of Mathematical Sciences, Bentley University and Bentley University

38.

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

KiHoon Jimmy Hong

Hongik University

39.

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

Hylmun Izhar

Islamic Research & Training Institute, Islamic Development Bank

40.

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

Jean-Guy Simonato

HEC Montréal

There are 2 versions of this paper

41.

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

Sol Kim

Hankuk University of Foreign Studies

42.

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

Giovanni Puccetti and Ludger Rüschendorf

University of Florence - Department of Economics and Management and University of Freiburg

43.

Backtesting within the Trading Book

Journal of Risk, Vol. 8, No. 2, Winter 2005-2006

Posted: 10 May 2006

Accepted Paper Series

Gerhard Stahl, Carsten Wehn and Andreas Zapp

European Union - Committee of the Regions, Deutsche Bundesbank and BaFin

44.

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

Harald Kinateder

Passau University

There are 2 versions of this paper

45.

Basket Default Swaps, CDOs and Factor Copulas

Journal of Risk, Forthcoming

Posted: 07 Nov 2005

Accepted Paper Series

Jon Gregory and Jean Paul Laurent

Independent and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi

46.

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

Dror Parnes

University of South Florida

47.

Bias and Consistency of the Maximum Sharpe Ratio

Journal of Risk, Vol. 7, No. 4, Summer 2005

Posted: 08 Nov 2005

Accepted Paper Series

Ross Maller, Robert B. B. Durand and Peter Lee

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

48.

Biases in Estimating Bank Loan Default Probabilities

Journal of Risk, Vol. 7, No. 4, Summer 2005

Posted: 08 Nov 2005

Accepted Paper Series

Thomas Mählmann

University of Cologne

49.

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

Susanne Emmer and Dirk Tasche

Dr. Nagler & Company GmbH and Deutsche Bundesbank

50.

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

Hans-Peter Burghof and Tanja Smith

University of Hohenheim and KG Allgemeine Leasing (KGAL)

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