Journal of Risk

Papers
(The TQCC 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 2021-04-01 to 2025-04-01.)
ArticleCitations
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures6
Assessing systemic fragility: a probabilistic perspective3
A factor-based risk model for multifactor investment strategies2
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps1
The statistics of capture ratios1
Analyzing market sentiment based on the option-implied distribution of stock returns1
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data1
Kernel-based estimation of spectral risk measures1
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations0
Nonparametric estimation of systemic risk via conditional value-at-risk0
Regularization effect on model calibration0
A new approach to detecting change in credit quality0
Value-at-risk models: a systematic review of the literature0
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming0
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation0
Tracking toxicity in fast and complex markets0
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk0
A dynamic program under Lévy processes for valuing corporate securities0
We will shock you: a coherent Bayesian approach for stress testing0
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing0
Modeling the exit cashflows of private equity fund investments0
Multi-factor default correlation model estimation: enhancement with bootstrapping0
Approximate risk parity with return adjustment and bounds for risk diversification0
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk0
Detecting prudence and temperance in risk exposure: the hybrid variance framework0
Peak-to-valley drawdowns: insights into extreme path-dependent market risk0
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment0
An approach to capital allocation based on mean conditional value-at-risk0
Optimal trade execution with unknown drift0
Counterparty risk allocation0
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network0
The power of neural networks in stochastic volatility modeling0
Shrinking beta0
US regional banks: challenges and opportunities0
Severe but plausible – or not?0
Converting a covariance matrix from local currencies to a common currency0
The importance of being scrambled: supercharged quasi-Monte Carlo0
A tale of two tail risks0
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model0
Market efficiency and volatility within and across cryptocurrency benchmark indexes0
Future portfolio returns and the VIX term structure0
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines0
Explainable artificial intelligence for credit scoring in banking0
Forecasting the European Monetary Union equity risk premium with regression trees0
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall0
Earnings moves and pre-earnings implied volatility0
Mean–variance insurance design under heterogeneous beliefs0
The impact of divergence in communication tone on investors’ willingness to invest in eurozone small- to medium-sized enterprises0
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio0
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets0
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors0
The effects of climate transition risk on an investment portfolio0
Target-date funds: lessons learned0
Bonus caps and bankers’ risk-taking0
Stuart M. Turnbull0
Estimating future value-at-risk from value samples, and applications to future initial margin0
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach0
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility0
Expectile risk quadrangles and applications0
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans0
Modeling maxima with a regime-switching Fréchet model0
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty0
Realized quantity extended conditional autoregressive value-at-risk models0
On capital allocation under information constraints0
Forecasting the realized volatility of stock markets with financial stress0
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns0
The impact of economic sentiment on financial portfolios during the recent turmoil0
Relaxing the assumption of conditional independence in an asymptotic single risk factor model0
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework0
A theory for combinations of risk measures0
Allocating and forecasting changes in risk0
Are there multiple independent risk anomalies in the cross section of stock returns?0
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions0
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