MDPI, Open Access Journal
Journal of Risk and Financial Management
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ISSN: 1911-8074
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ISSN: 1911-8074
Citations RSS feed: at CitEc
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2016, Volume 9, Issue 3
- 7 Probability of Default and Default Correlations
by Weiping Li - 8 The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
by Giovanni Bonaccolto & Massimiliano Caporin - 9 The Nexus between Social Capital and Bank Risk Taking
by Wenjing Xie & Haoyuan Ding & Terence Tai-Leung Chong - 10 On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
by Ana-Maria Fuertes & Jose Olmo - 9 The Nexus between Social Capital and Bank Risk Taking
by Wenjing Xie & Haoyuan Ding & Terence Tai-Leung Chong - 8 The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
by Giovanni Bonaccolto & Massimiliano Caporin - 7 Probability of Default and Default Correlations
by Weiping Li
2016, Volume 9, Issue 2
- 3 Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market
by Zhijian (James) Huang & Yuchen Luo - 4 Application of Vine Copulas to Credit Portfolio Risk Modeling
by Marco Geidosch & Matthias Fischer - 5 Humanizing Finance by Hedging Property Values
by Jaume Roig Hernando - 6 Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh - 6 Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh - 5 Humanizing Finance by Hedging Property Values
by Jaume Roig Hernando - 4 Application of Vine Copulas to Credit Portfolio Risk Modeling
by Marco Geidosch & Matthias Fischer - 3 Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market
by Zhijian (James) Huang & Yuchen Luo
2016, Volume 9, Issue 1
- 2 VaR and CVaR Implied in Option Prices
by Giovanni Barone Adesi - 2 VaR and CVaR Implied in Option Prices
by Giovanni Barone Adesi
2015, Volume 9, Issue 1
2015, Volume 8, Issue 4
- 355 On a Discrete Interaction Risk Model with Delayed Claims
by He Liu & Zhenhua Bao - 369 The Fundamental Equation in Tourism Finance
by Michael McAleer - 369 The Fundamental Equation in Tourism Finance
by Michael McAleer - 355 On a Discrete Interaction Risk Model with Delayed Claims
by He Liu & Zhenhua Bao
2015, Volume 8, Issue 3
- 285 Inflation and Speculation in a Dynamic Macroeconomic Model
by Matheus R. Grasselli & Adrien Nguyen Huu - 311 Volatility Forecast in Crises and Expansions
by Sergii Pypko - 337 An Empirical Analysis for the Prediction of a Financial Crisis in Turkey through the Use of Forecast Error Measures
by Seyma Caliskan Cavdar & Alev Dilek Aydin - 337 An Empirical Analysis for the Prediction of a Financial Crisis in Turkey through the Use of Forecast Error Measures
by Seyma Caliskan Cavdar & Alev Dilek Aydin - 311 Volatility Forecast in Crises and Expansions
by Sergii Pypko - 285 Inflation and Speculation in a Dynamic Macroeconomic Model
by Matheus R. Grasselli & Adrien Nguyen Huu
2015, Volume 8, Issue 2
- 181 The Impact of the Basel Accord on Greek Banks: A Stress Test Study
by John Leventides & Anna Donatou - 198 Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
by Mauro Bernardi & Lea Petrella - 227 Dependency Relations among International Stock Market Indices
by Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett - 266 Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information
by Tao You & Paweł Fiedor & Artur Hołda - 266 Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information
by Tao You & Paweł Fiedor & Artur Hołda - 227 Dependency Relations among International Stock Market Indices
by Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett - 198 Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
by Mauro Bernardi & Lea Petrella - 181 The Impact of the Basel Accord on Greek Banks: A Stress Test Study
by John Leventides & Anna Donatou
2015, Volume 8, Issue 1
- 1 Acknowledgement to Reviewers of the Journal of Risk and Financial Management
by Journal of Risk Financial Management Editorial Office - 2 State Prices and Implementation of the Recovery Theorem
by Alex Backwell - 17 Pricing a Collateralized Derivative Trade with a Funding Value Adjustment
by Chadd B. Hunzinger & Coenraad C.A. Labuschagne - 43 Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options
by Antonie Kotzé & Rudolf Oosthuizen & Edson Pindza - 83 Quadratic Hedging of Basis Risk
by Hardy Hulley & Thomas A. McWalter - 103 Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
by Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu - 127 Are Women More Likely to Seek Advice than Men? Evidence from the Boardroom
by Maurice Levi & Kai Li & Feng Zhang - 150 Firm Value and Cross Listings: The Impact of Stock Market Prestige
by Nicola Cetorelli & Stavros Peristiani - 83 Quadratic Hedging of Basis Risk
by Hardy Hulley & Thomas A. McWalter - 43 Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options
by Antonie Kotzé & Rudolf Oosthuizen & Edson Pindza - 2 State Prices and Implementation of the Recovery Theorem
by Alex Backwell - 17 Pricing a Collateralized Derivative Trade with a Funding Value Adjustment
by Chadd B. Hunzinger & Coenraad C.A. Labuschagne - 150 Firm Value and Cross Listings: The Impact of Stock Market Prestige
by Nicola Cetorelli & Stavros Peristiani - 127 Are Women More Likely to Seek Advice than Men? Evidence from the Boardroom
by Maurice Levi & Kai Li & Feng Zhang - 103 Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
by Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu - 1 Acknowledgement to Reviewers of the Journal of Risk and Financial Management
by Journal of Risk Financial Management Editorial Office
2014, Volume 7, Issue 4
- 130 Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
by Konstantinos Kiriakopoulos & Alexandros Koulis - 150 Exact Fit of Simple Finite Mixture Models
by Dirk Tasche - 150 Exact Fit of Simple Finite Mixture Models
by Dirk Tasche - 130 Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
by Konstantinos Kiriakopoulos & Alexandros Koulis
2014, Volume 7, Issue 3
- 110 Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
by Michael McAleer - 113 Risk Measures and Portfolio Optimization
by Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu - 113 Risk Measures and Portfolio Optimization
by Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu - 110 Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
by Michael McAleer
2014, Volume 7, Issue 2
- 28 Remuneration Committee, Board Independence and Top Executive Compensation
by Chii-Shyan Kuo & Shih-Ti Yu - 45 International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches
by Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong - 67 Refining Our Understanding of Beta through Quantile Regressions
by Allen B. Atkins & Pin T. Ng - 80 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth - 80 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth - 67 Refining Our Understanding of Beta through Quantile Regressions
by Allen B. Atkins & Pin T. Ng - 45 International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches
by Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong - 28 Remuneration Committee, Board Independence and Top Executive Compensation
by Chii-Shyan Kuo & Shih-Ti Yu
2014, Volume 7, Issue 1
- 1 Revisiting the Performance of MACD and RSI Oscillators
by Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew - 13 Validation of the Merton Distance to the Default Model under Ambiguity
by Wei-ling Chen & Leh-chyan So - 13 Validation of the Merton Distance to the Default Model under Ambiguity
by Wei-ling Chen & Leh-chyan So - 1 Revisiting the Performance of MACD and RSI Oscillators
by Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew
2013, Volume 6, Issue 1
- 1 The Journal of Risk and Financial Management in Open Access
by Michael McAleer - 4 Publisher’s Note: Journal of Risk and Financial Management
by Shu-Kun Lin - 6 A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh - 31 Testing for a Single-Factor Stochastic Volatility in Bivariate Series
by Masaru Chiba & Masahito Kobayashi - 6 A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh - 4 Publisher’s Note: Journal of Risk and Financial Management
by Shu-Kun Lin - 31 Testing for a Single-Factor Stochastic Volatility in Bivariate Series
by Masaru Chiba & Masahito Kobayashi - 1 The Journal of Risk and Financial Management in Open Access
by Michael McAleer
2012, Volume 5, Issue 1
- 1 A General Empirical Model of Hedging
by Moawia Alghalith & Ricardo Lalloob - 20 Stock Returns and Risk: Evidence from Quantile
by Thomas C. Chiang & Jiandong Li - 59 The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis
by Tai-Yuen Hon - 78 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer - 115 Technical Efficiency and Port Competition: Revisiting the Bohai Economic Rim, China
by Grace Wang & Chen Gao - 78 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer - 59 The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis
by Tai-Yuen Hon - 20 Stock Returns and Risk: Evidence from Quantile
by Thomas C. Chiang & Jiandong Li - 115 Technical Efficiency and Port Competition: Revisiting the Bohai Economic Rim, China
by Grace Wang & Chen Gao - 1 A General Empirical Model of Hedging
by Moawia Alghalith & Ricardo Lalloob
2011, Volume 4, Issue 1
- 1 Corporate Governance and Corporate Creditworthiness
by Dror Parnes - 43 A Pseudo-Bayesian Model for Stock Returns In Financial Crises
by Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong - 74 Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models
by Shu Wing Ho & Alan Lee & Alastair Marsden - 97 Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
by Man Fu & Prasad V. Bidarkota - 133 Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
by Vadhindran K. Rao - 97 Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
by Man Fu & Prasad V. Bidarkota - 74 Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models
by Shu Wing Ho & Alan Lee & Alastair Marsden - 43 A Pseudo-Bayesian Model for Stock Returns In Financial Crises
by Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong - 133 Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
by Vadhindran K. Rao - 1 Corporate Governance and Corporate Creditworthiness
by Dror Parnes
2010, Volume 3, Issue 1
- 1 Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness
by Dilip B. Madan - 26 Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets
by Mara Madaleno & Carlos Pinho - 63 Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency
by John B. Mitchell - 97 A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens
by Alexander Eptas & Lawrence A. Leger - 118 Are Entrepreneur-Led Companies Better? Evidence from Publicly Traded U.S. Companies: 1998-2010
by Joel M. Shulman - 97 A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens
by Alexander Eptas & Lawrence A. Leger - 63 Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency
by John B. Mitchell - 26 Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets
by Mara Madaleno & Carlos Pinho - 118 Are Entrepreneur-Led Companies Better? Evidence from Publicly Traded U.S. Companies: 1998-2010
by Joel M. Shulman - 1 Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness
by Dilip B. Madan
2009, Volume 2, Issue 1
- 1 Mergers and Acquisitions (M&AS) by R&D Intensive Firms
by Shantanu Dutta & Vinod Kumar - 38 China’s Stock Market Integration with a Leading Power and a Close Neighbor
by Zheng Yi & Chen Heng & Wing-Keung Wong - 75 The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes
by Terence Tai-Leung Chong & Xiaolei Wang - 94 Corporate Risk Disclosure and Corporate Governance
by Kaouthar Lajili - 118 Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital
by Hulusi Inanoglu & Michael Jacobs - 94 Corporate Risk Disclosure and Corporate Governance
by Kaouthar Lajili - 75 The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes
by Terence Tai-Leung Chong & Xiaolei Wang - 38 China’s Stock Market Integration with a Leading Power and a Close Neighbor
by Zheng Yi & Chen Heng & Wing-Keung Wong - 118 Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital
by Hulusi Inanoglu & Michael Jacobs - 1 Mergers and Acquisitions (M&AS) by R&D Intensive Firms
by Shantanu Dutta & Vinod Kumar
2008, Volume 1, Issue 1
- 1 Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches
by Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong - 41 Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon
by Michaël Dewally & Luke Marriott - 77 The Intra-Industry Effects of Life Insurance Company Demutualizaton
by Joseph W. Meador & Emery A. Trahan - 100 Active Versus Passive Investing - An Analysis of UK Equity Markets, 1991-2005
by Edel Barnes & M. Scott - 129 Financial Distress Comparison Across Three Global Regions
by Harlan D. Platt & Marjorie B. Platt - 77 The Intra-Industry Effects of Life Insurance Company Demutualizaton
by Joseph W. Meador & Emery A. Trahan - 41 Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon
by Michaël Dewally & Luke Marriott - 129 Financial Distress Comparison Across Three Global Regions
by Harlan D. Platt & Marjorie B. Platt - 100 Active Versus Passive Investing - An Analysis of UK Equity Markets, 1991-2005
by Edel Barnes & M. Scott - 1 Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches
by Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong