Journal of Risk Finance: Volume 21 Issue 5

Blockchain systems for trade clearing

Wei-Tek Tsai, Yong Luo, Enyan Deng, Jing Zhao, Xiaoqiang Ding, Jie Li, Bo Yuan

This 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 this…

Forecasting multivariate VaR and ES using MC-GARCH-Copula model

Hemant Kumar Badaye, Jason Narsoo

This 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 assess the…

An augmented macroeconomic linear factor model of South African industrial sector returns

Jan Jakub Szczygielski, Leon Brümmer, Hendrik Petrus Wolmarans

This study aims to investigate the impact of the macroeconomic environment on South African industrial sector returns.

Valuation of initial margin using bootstrap method

Modisane Bennett Seitshiro, Hopolang Phillip Mashele

The purpose of this paper is to propose the parametric bootstrap method for valuation of over-the-counter derivative (OTCD) initial margin (IM) in the financial market with low…

Loan fair values and the financial crisis

Niranjan Chipalkatti, Massimo DiPierro, Carl Luft, John Plamondon

In 2009, effective the second-quarter, the financial accounting standards board mandated that all banks need to disclose the fair value of loans in their 10-Q filings in addition…

Children’s toy or grown-ups’ gamble? LEGO sets as an alternative investment

Savva Shanaev, Nikita Shimkus, Binam Ghimire, Satish Sharma

The purpose of this paper is to study LEGO sets as a potential alternative asset class. An exhaustive sample of 10,588 sets is used to generate inferences regarding long-term LEGO…

US policy uncertainty and stock returns: evidence in the US and its spillovers to the European Union, China and Japan

Thomas C. Chiang

Recent empirical studies by Antonakakis, Chatziantoniou and Filis (2013), Brogaard and Detzel (2015) and Christou et al. (2017) present evidence, which supports the notion that a…

Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators?

Frederik Kunze, Tobias Basse, Miguel Rodriguez Gonzalez, Günter Vornholz

In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and forward-looking risk…