Journal of Risk Finance: Volume 18 Issue 4


Table of contents - Special Issue: Sovereign Credit Risk

Guest Editors: J. Matthias Graf von der Schulenburg, Christoph Wegener

The impact of sovereign rating events on bank stock returns: An empirical analysis for the Eurozone

Haoshen Hu

This paper aims to investigate the impact of sovereign rating signals on domestic banks’ stock returns in a European context.

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan

Abdul Rashid, Farooq Ahmad, Ammara Yasmin

This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves…

Banking stability in the MENA region during the global financial crisis and the European sovereign debt debacle

Naama Trad, Houssem Rachdi, Abdelaziz Hakimi, Khaled Guesmi

This paper aims to focus on the main determinants of the performance and stability-banking sector in the Middle East and North Africa (MENA) region during the global financial…

Time-varying beta during the 2008 financial crisis – evidence from North America and Western Europe

Ikrame Ben Slimane, Makram Bellalah, Hatem Rjiba

This paper aims to analyze the impact of the global financial crisis on the conditional beta in the region of North America and Western Europe and the effect on the behavior and…

Interest rate convergence, sovereign credit risk and the European debt crisis: a survey

Mario Gruppe, Tobias Basse, Meik Friedrich, Carsten Lange

This paper aims to briefly review the literature on interest rate convergence and the European debt crisis with a special focus on the current fiscal problems of some governments…


Interest rate, liquidity, and sovereign risk: derivative-based VaR

Mariya Gubareva, Maria Rosa Borges

The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration…


Asset liability management and the euro crisis: Sovereign credit risk as a challenge for the German life insurance industry

Miguel Rodriguez Gonzalez, Frederik Kunze, Christoph Schwarzbach, Christoph Dieng

This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managers’ or risk managers’ perspective…

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  • Nawazish Mirza