Journal of Risk Finance
Issue(s) available: 97 – From Volume: 1 Issue: 1, to Volume: 21 Issue: 2
Category:
Accounting and Finance
Volume 21
Volume 20
Volume 19
Volume 18
Volume 17
Volume 16
Volume 15
Volume 14
Volume 13
Volume 12
Volume 11
Volume 10
Volume 9
Volume 8
Volume 7
Volume 6
Volume 5
Volume 4
Volume 3
Volume 2
Volume 1
Revisiting Fama–French’s asset pricing model with an MCB volatility risk factor
Xiaoying Chen, Nicholas Ray-Wang GaoSince the introduction of VIX to measure the spot volatility in the stock market, VIX and its futures have been widely considered to be the standard of underlying investor…
Forecasting multivariate VaR and ES using MC-GARCH-Copula model
Hemant Kumar Badaye, Jason NarsooThis study aims to use a novel methodology to investigate the performance of several multivariate value at risk (VaR) and expected shortfall (ES) models implemented to…
Blockchain systems for trade clearing
Wei-Tek Tsai, Yong Luo, Enyan Deng, Jing Zhao, Xiaoqiang Ding, Jie Li, Bo YuanThis paper aims to apply blockchains (BCs) for trade clearing and settlement in a realistic clearinghouse. The purpose is to demonstrate the feasibility and scalability of…
On the management of retirement age indexed to life expectancy: a scenario analysis of the Italian longevity experience
Mariarosaria Coppola, Maria Russolillo, Rosaria SimoneThis paper aims to measure the financial impact on social security system of a recently proposed indexation mechanism for retirement age by considering the Italian…
Optimal pooling strategies under heterogeneous risk classes
Florian Klein, Hato SchmeiserThe purpose of this paper is to determine optimal pooling strategies from the perspective of an insurer's shareholders underlying a default probability driven premium…
Forecasting the macro determinants of bank credit quality: a non-linear perspective
Maria Grazia Fallanca, Antonio Fabio Forgione, Edoardo OtrantoThis study aims to propose a non-linear model to describe the effect of macroeconomic shocks on delinquency rates of three kinds of bank loans. Indeed, a wealth of…
Testing risk proxies for financial collateral haircuts: adequacy of capturing tail risk
Lukasz Prorokowski, Oleg Deev, Hubert ProrokowskiThe use of risk proxies in internal models remains a popular modelling solution. However, there is some risk that a proxy may not constitute an adequate representation of…
How blockchain technology can monetize new music ventures: an examination of new business models
Robyn Owen, Marcus O'DairThis paper aims to examine how blockchain technology is disrupting business models for new venture finance.
Enterprise risk management and Solvency II: the system of governance and the Own Risk and Solvency Assessment
Pablo Durán Santomil, Luis Otero GonzálezThe purpose of this paper is to analyze how enterprise risk management (ERM), the system of governance and the Own Risk and Solvency Assessment (ORSA) have been boosted…
Tail models and the statistical limit of accuracy in risk assessment
Ingo Hoffmann, Christoph J. BörnerThis paper aims to evaluate the accuracy of a quantile estimate. Especially when estimating high quantiles from a few data, the quantile estimator itself is a random…
CDS-based implied probability of default estimation
Amira Abid, Fathi Abid, Bilel KaffelThis study aims to shed more light on the relationship between probability of default, investment horizons and rating classes to make decision-making processes more efficient.
Longevity swaps for longevity risk management in life insurance products
Canicio Dzingirai, Nixon S. ChekenyaThe life insurance industry has been exposed to high levels of longevity risk born from the mismatch between realized mortality trends and anticipated forecast. Annuity…
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen access:
hybridMerged from:
Balance SheetEditor:
- Prof Bonnie Buchanan
Further Information
