Journal of Risk Finance: Volume 17 Issue 4

Stand-alone vs systemic risk-taking of financial institutions

Sascha Strobl

This study investigates the risk-taking behavior of financial institutions in the USA. Specifically, differences between taking risks that affect primarily the shareholders of the…

A Bayesian inference model for the credit rating scale

Philipp Gmehling, Pierfrancesco La Mura

This paper aims to provide a theoretical explanation of why credit rating agencies typically disclose credit risk of issuers in classes rather than publishing the qualitative…

Portfolio dynamics under illiquidity

Axel Buchner

This paper aims to explore the effects of illiquidity on portfolio weight and return dynamics.

RiskTRACK: the five-factor model for measuring risk tolerance

Hunter Matthew Holzhauer, Xing Lu, Robert McLeod, Jun Wang

Currently, few academics agree on a standard and scientific way to measure risk tolerance. This paper aims to create a unique model for empirically measuring risk tolerance and to…

Time variation paths of risk sensitivities of bank stocks in the past two decades

Kaiyi Chen, Ling T. He, R.B. Lenin

The purpose of this study is to trace time variation paths in risk sensitivities of bank stock returns over the period of 1990-2014, which covers one of most serious financial…

Sensitivity analysis of market and stock returns by considering positive and negative jumps

Ourania Theodosiadou, Vassilis Polimenis, George Tsaklidis

This paper aims to present the results of further investigating the Polimenis (2012) stochastic model, which aims to decompose the stock return evolution into positive and…