Journal of Risk Finance: Volume 6 Issue 5

VaR stress tests for highly non‐linear portfolios

John H.J. Einmahl, Walter N. Foppen, Olivier W. Laseroms, Casper G. de Vries

It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared…

Value‐at‐risk with info‐gap uncertainty

Yakov Ben‐Haim

To study the effect of Knightian uncertainty – as opposed to statistical estimation error – in the evaluation of value‐at‐risk (VaR) of financial investments. To develop methods…

Reciprocal insurance: a case of supply created by demand

Emilio C. Venezian

The purpose of this study is to determine the characteristics of the equilibrium between demand and supply for a reciprocal insurance firm.

Classic and modern measures of risk in fixed‐income portfolio optimization

Miguel Ángel Martín Mato

Interest rate risk immunization is one of the key concerns for fixed income portfolio management. In recent years, the affluence of new risk measures has emphasized the importance…

Trade size, trade frequency, and the volatility‐volume relation

Frederick (Fengming) Song, Hui Tan, Yunfeng Wu

The Chinese stock market is a typical emerging market with special features that are very different from those of mature markets. The objective of this study is to investigate…

The effect of capital structure on profitability: an empirical analysis of listed firms in Ghana

Joshua Abor

This paper seeks to investigate the relationship between capital structure and profitability of listed firms on the Ghana Stock Exchange (GSE) during a five‐year period.

Outstanding doctoral research awards

M&A: on the agenda again!

Chris Gentle

Salutary skewness: risk financing of the third kind?

Michael R. Powers

You better – gambling and risk management

Michael Mainelli