OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Risk is 0. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-04-01 to 2024-04-01.)

Article	Citations
Forecasting Bitcoin returns: is there a role for the US–China trade war?	9
The impact of corporate social and environmental performance on credit rating prediction: North America versus Europe	6
A regime-switching factor model for mean–variance optimization	2
Detecting prudence and temperance in risk exposure: the hybrid variance framework	1
Fund size and the stability of portfolio risk	1
https://www.risk.net/journal-of-risk/7674176/the-impact-of-corporate-social-and-environmental-performance-on-credit-rating-prediction-north-america-versus-europe	1
A new dynamic hedging model with futures: the Kalman filter error-correction model	1
Covariance estimation for risk-based portfolio optimization: an integrated approach	1
A theory for combinations of risk measures	1
Body and tail: an automated tail-detecting procedure	1
Risk measures: a generalization from the univariate to the matrix-variate	1
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines	1
Explainable artificial intelligence for credit scoring in banking	1
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model	1
Optimization of systemic risk: reallocation of assets based on bank networks	1
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model	1
A numerical approach to the risk capital allocation problem	1
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk	0
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations	0
Realized quantity extended conditional autoregressive value-at-risk models	0
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall	0
Correlated idiosyncratic volatility shocks	0
An examination of the tail contribution to distortion risk measures	0
Estimating future value-at-risk from value samples, and applications to future initial margin	0
Volatility spillover along the supply chains: a network analysis on economic links	0

Value-at-risk models: a systematic review of the literature	0
Modeling maxima with a regime-switching Fréchet model	0
The importance of being scrambled: supercharged quasi-Monte Carlo	0
Optimal foreign exchange hedge tenor with liquidity risk	0
Counterparty risk allocation	0
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty	0
Modeling the exit cashflows of private equity fund investments	0
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book	0
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach	0
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency	0
Stuart M. Turnbull	0
Forecasting the realized volatility of stock markets with financial stress	0
Assessing systemic fragility: a probabilistic perspective	0
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall	0
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment	0
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio	0
Are there multiple independent risk anomalies in the cross section of stock returns?	0
A new approach to detecting change in credit quality	0
Option pricing using high-frequency futures prices	0
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility	0
Market efficiency and volatility within and across cryptocurrency benchmark indexes	0
Regularization effect on model calibration	0
The impact of shareholders’ limited liability on risk- and value-based management	0
Severe but plausible – or not?	0
A dynamic program under Lévy processes for valuing corporate securities	0
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data	0
Future portfolio returns and the VIX term structure	0
Standard errors of risk and performance estimators for serially dependent returns	0
The statistics of capture ratios	0
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns	0
Modeling nonmaturing deposits: a framework for interest and liquidity risk management	0
Mean–variance insurance design under heterogeneous beliefs	0
Ruin problems in a discrete risk model in a Markovian environment	0
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans	0
Target-date funds: lessons learned	0
Performance measures adjusted for the risk situation (PARS)	0
Nonparametric estimation of systemic risk via conditional value-at-risk	0
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets	0
An approach to capital allocation based on mean conditional value-at-risk	0
Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model	0
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network	0
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing	0
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices	0
Reinvestigating international crude oil market risk spillovers	0
Shrinking beta	0
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate	0
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation	0
Procyclicality control in risk-based margin models	0
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model	0
Multi-factor default correlation model estimation: enhancement with bootstrapping	0

On capital allocation under information constraints	0
A factor-based risk model for multifactor investment strategies	0
Forecasting the European Monetary Union equity risk premium with regression trees	0
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures	0
Peak-to-valley drawdowns: insights into extreme path-dependent market risk	0
A general framework for the identification and categorization of risks: an application to the context of financial markets	0
Procyclicality mitigation for initial margin models with asymmetric volatility	0
Allocating and forecasting changes in risk	0
The impact of compounding on bond pricing with alternative reference rates	0