Journal of Risk Finance: Volume 12 Issue 4

Solvency analysis and demographic risk measures

Mariarosaria Coppola, Emilia Di Lorenzo, Albina Orlando, Marilena Sibillo

The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty lies both…

The structural fragility of financial systems: Analysis and modeling implications for early warning systems

Dieter Gramlich, Mikhail V. Oet

Lessons from the most recent financial crisis show specific vulnerabilities of financial markets due to weaknesses in the structure of the financial system (structural fragility)…

Bet doubling in gambling and investing

Zaneta Chapman, Thomas Getzen

The purpose of this paper is to analyze strategies for gamblers/investors to increase their chances of reaching certain monetary and/or survival goals while facing a losing…

A conditional CAPM: implications for systematic risk estimation

Alexandros Milionis

The purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an…

Hybrid forecasting models for S&P 500 index returns

Akihiro Fukushima

The purpose of this paper is to propose two hybrid forecasting models which integrate available ones. A hybrid contaminated normal distribution (CND) model accurately reflects the…

Revisiting the capital‐structure puzzle: UK evidence

Basil Al‐Najjar, Khaled Hussainey

This paper seeks to explore the potential drivers of corporate capital structure.

How does private firms' investment respond to uncertainty?: Some evidence from the United Kingdom

Abdul Rashid

The purpose of this paper is to empirically examine the extent at which idiosyncratic and financial market uncertainty affect the UK private manufacturing firms' investment…

Money in a time of choleric: Basel blows the bubbles

Michael Mainelli