Article ID: e05330dec4f5e31b39b0d7585dd28aa97dcf14e87f58431f52978f8ae3282a65
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URL: https://www.risk.net/journal-of-risk
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Journal of Risk ISSN: 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 - Systemic risk - Risk management issues related to fintech and cryptocurrencies - New methodologies for artificial intelligence and machine learning in financial risk management Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; EconBiz; ABI Research; and Cabell’s Directory Journal Metrics: Journal Impact Factor: 0.5 5-Year Impact Factor: 0.5 CiteScore: 0.9 Latest papers Forecasting realized volatility with the implied volatility surface: an image-based approach This paper investigates methods to extract information about an asset’s future risk from the entire implied volatility surface, converting the IVS into a standardized matrix and model it with an image-based approach Pricing kernel monotonicity and the conservativeness of risk-neutral forecasts This paper analyses the relationship between option-implied, risk-neutral forecasts and their real-world counterparts through the lens of stochastic dominance and pricing kernel monotonicity. A generic nonparametric value-at-risk estimator for high dimensions This paper presents a fast, nonparametric algorithm for VaR and CVaR estimation that remains accurate for an arbitrarily large number of underlying positions. Non-maturity deposit risk under interest rate stress: a behavioral modeling framework The authors propose a behavioral framework with which to model non-maturity deposit risk under interest rate stress within an interest rate risk in the banking book (IRRBB) context. Forecasting Chinese crude oil futures’ volatility: a heterogeneous volatility spillover-conditional autoregressive range model This paper offers a new model with which to model and forecast the volatility of Chinese crude oil futures. Addressing class imbalance in probability-of-default modeling: a comparative study of SMOTE, ensemble learning and explainable artificial intelligence The author puts forward s a governance-aligned framework for probability of default modeling under class imbalance, combining domain-informed feature engineering, resampling, ensemble learning and explainable artificial intelligence Stock trend forecasting with graph neural networks The authors put forward a new method for short-term stock trend prediction based on graph neural networks. From expansion to recession: unraveling the performance of Chinese hedge funds through economic shifts The authors investigate hedge fund performance in China with a Markov regime-switching model, showing differences between between economic expansion and recession phases. Analyzing cryptocurrency risk with a stochastic volatility normal tempered stable process via hybrid optimization The authors apply a subordinated Lévy process for the purpose of measuring and managing financial risks in cryptocurrency markets. When betas meet the cross section: a hybrid risk model for equity portfolios The authors propose an application of Kelly et al's 2018 model combining regression-based betas with cross-sectional and time series elements, enhancing precision, reducing data needs, and simplifying multiregional models while effectively optimizing… Is climate policy uncertainty positively or negatively priced in the stock market, and why? The authors asses Chinese climate policy uncertainty a systematic risk factor within the intertemporal capital asset pricing model framework, showing CCPU to carry a negative risk premium. Berms without calibration This paper suggests semi-analytical pricing model for Bermudan swaptions based on swap-rate distributions and the correlations between them which does not require product specific calibration. Asymptotic behavior of systemic risk based on the higher-moment capital allocation The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk. Forecasting extreme tail risk in China’s banking sector: an approach based on a component generalized autoregressive conditional heteroscedasticity and mixed data sampling model and extreme value theory The authors put forward a means to forecast extreme tail risk in the Chinese banking sector - the component GARCH-MIDAS-EVT-X model. A primer on generalized weighted risk functionals The authors put forward a class of generalized weighted risk functionals that incorporates the possibility of arbitrary aggregations, introducing the notion of an aggregation function in the context of the aforementioned weighted risk functionals. A robust distorted Orlicz premium: modeling, computational scheme and applications This paper introduces the distorted Orlicz premium in an extension of Bellini et al's robust Orcliz premium and extend this to the Haezendonck–Goovaerts risk measure. The implications of extraordinary speed in contemporary financial markets trading This paper shows how high-frequency traders cancel many trading orders within 20 milliseconds of submission and proposes batch auctions to mitigate queuing risk for high-frequency traders. Modeling coskewness with zero correlation and correlation with zero coskewness The authors demonstrate that care should be taken when discussing potential links between correlation and coskewness, showing that any possible values of coskewness among symmetric random variables but zero pairwise correlations of these variables can be… The connectedness, structure and performance of different financial networks The authors investigate network construction methods in accurately depicting spillover effects among financial institutions. Semiparametric GARCH models for value-at-risk and expected shortfall: an object-driven procedure Basing their approach in object-drive smoothing, the authors calculate value-at-risk and expected shortfall via an application of semi-GARCH models.
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