Journal of Risk Finance: Volume 23 Issue 3

The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures

Heike Bockius, Nadine Gatzert

The purpose of this article is to investigate the impact of counterparty risk on the basis risk of industry loss warranties as well as on reinsurance with and without collateral…

Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders

Dimitrios Panagiotou, Alkistis Tseriki

The cross-quantilogram analysis is employed. The latter can assess the temporal association between two stationary time series at different parts of their joint distribution. Data…

One-size risk-adjusted discount rate does not fit all risky projects

Luisa Tibiletti

The paper proposes using modified duration in calculating the proper risk-adjusted discount rate (RADR) to account for downside risk scenarios in capital budgeting.

Peer-to-peer lending platform risk analysis: an early warning model based on multi-dimensional information

Huosong Xia, Ping Wang, Tian Wan, Zuopeng Justin Zhang, Juan Weng, Sajjad M. Jasimuddin

The paper focuses on the variables that help analyze peer-to-peer (P2P) lending platforms. It explores the characteristic factors of identifying problematic platforms, and designs…

Commentary: Thinking about climate risk as a supply-side shock

Anthony Hughes