Journal of Risk Finance: Volume 15 Issue 2

Incentives for complexity in financial regulation

Tom Berglund

The purpose of the paper is to find out which incentives are present for persons who are taking care of financial regulation in practice, and how these incentives impact their…

A note on the appropriate choice of risk measures in the solvency assessment of insurance companies

Joël Wagner

The concept of value at risk is used in the risk-based calculation of solvency capital requirements in the Basel II/III banking regulations and in the planned Solvency II…

Jointly estimating jump betas

Vassilis Polimenis, Ioannis Papantonis

This paper aims to enhance a co-skew-based risk measurement methodology initially introduced in Polimenis, by extending it for the joint estimation of the jump betas for two…

Impacts of the US macroeconomic news on Asian stock markets

Tho Nguyen, Chau Ngo

– This paper aims to investigate the spillover effect of 14 US key macroeconomic news on the first two moments of 12 Asian stock market returns.

Analysis of the impact of improved market trading efficiency on the speculation-hedging relation

Stoyu I. Ivanov

In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is…

Forecasting bank credit ratings

Periklis Gogas, Theophilos Papadimitriou, Anna Agrapetidou

This study aims to present an empirical model designed to forecast bank credit ratings using only quantitative and publicly available information from their financial statements…

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