Journal of Risk Finance: Volume 21 Issue 4

Enterprise risk management and Solvency II: the system of governance and the Own Risk and Solvency Assessment

Pablo Durán Santomil, Luis Otero González

The 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 with the…

How blockchain technology can monetize new music ventures: an examination of new business models

Robyn Owen, Marcus O'Dair

This paper aims to examine how blockchain technology is disrupting business models for new venture finance.

A Monte Carlo evaluation of non-parametric estimators of expected shortfall

Julia S. Mehlitz, Benjamin R. Auer

Motivated by the growing importance of the expected shortfall in banking and finance, this study aims to compare the performance of popular non-parametric estimators of the…

CDS-based implied probability of default estimation

Amira Abid, Fathi Abid, Bilel Kaffel

This 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.

Forecasting the macro determinants of bank credit quality: a non-linear perspective

Maria Grazia Fallanca, Antonio Fabio Forgione, Edoardo Otranto

This 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 literature has…

De-risking or recontracting – the risk dilemma of EU money laundering regulation

Kalle Johannes Rose

Recent research and market effects within the European Union (EU) show a rising concern toward the de-risking of certain sectors/actors owing to the increased anti-money…

Using the Shapley value of stocks as systematic risk

Haim Shalit

This study aims to propose the Shapley value that originates from the game theory to quantify the relative risk of a security in an optimal portfolio.