Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
About this journal
This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk.
The Journal of Risk is particularly interested in papers on the following topics:
- Risk management regulations and their implications
- Risk capital allocation and risk budgeting
- Efficient evaluation of risk measures under increasingly complex and realistic model assumptions
- Impact of risk measurement on portfolio allocation
- Theoretical development of alternative risk measures
- Hedging (linear and non-linear) under alternative risk measures
- Financial market model risk
- Estimation of volatility and unanticipated jumps
- Capital allocation
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; EconBiz; ABI Research; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.3
5-Year Impact Factor: 0.5
CiteScore: 1.2
Latest papers
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Optimal trade execution with unknown drift
This paper demonstrates a means through which to adapt results for optimal trading strategies under different conditions when the drift of the asset is unknown.
Expectile risk quadrangles and applications
The authors study the expectile risk measure within the fundamental risk quadrangle framework, constructing a new quadrangle where the expectile is both a statistic and a risk measure.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
Bonus caps and bankers’ risk-taking
The authors investigate the relationship between bankers' risk-taking and bonus caps, finding negligible evidence that bonus caps reduce risk taking at the median bank.
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions
The authors investigate financial risk spillover in Chinese financial institutions, identifying the important role played by such institutions in the transmission of network risk as well as the conditions which increase and decrease risk spillover.
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors
This paper proposes a means to calibrate the correlation for paper issued by a collateralized debt obligation is included in a general credit portfolio of corporate bonds.
Converting a covariance matrix from local currencies to a common currency
The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.
Kernel-based estimation of spectral risk measures
The authors put forward a kernel-based estimator for spectral risk measures and compare its performance with existing SRM estimators.
Analyzing market sentiment based on the option-implied distribution of stock returns
The authors propose a means to assess market sentiment using the option-implied distribution of stock returns generated from option data, allowing for efficient optimization of complex portfolios.
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming
This papers investigates problems in pricing and optimizing sidecar and collateralized reinsurance portfolios, employing a stochastic programming approach to solve these problems.
US regional banks: challenges and opportunities
The authors investigate the 2023 run on US regional banks, comparing the solvency and regulation of these banks with European counterparts.
Tracking toxicity in fast and complex markets
A novel means of tracking toxicity in high-frequency equity markets is put forward and demonstrated to adequately track flash crashes.
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.
The impact of economic sentiment on financial portfolios during the recent turmoil
The authors investigate the influence of economic sentiment on financial portfolios during Covid-19 and the Russia-Ukraine conflict before conducting a portfolio management analysis on their data.
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework
This paper puts forward a novel insurance and illustrate the impact of model parameters on optimal investment strategies.
Banking competition and systemic risk: evidence from China
The authors investigate the relationship of competition between Chinese banks and the stability of the banking system, finding that increasing competition leads to decreasing systemic risk.
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
The authors carry out quantitative and qualitative analysis of anti-procyclicality tools and suggest policy measures intended to make APC tools more effective.
Multi-factor default correlation model estimation: enhancement with bootstrapping
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
