Journal of Risk Finance: Volume 19 Issue 5

Shadow credit in the middle market: the decade after the financial collapse

Craig Anthony Zabala, Jeremy Marc Josse

The purpose of this paper is to review the continued development of the “shadow banking” market in the USA, namely, lending to the private middle market, defined as financings of…

Does market response to S&P additions reflect adjustment for risk?

Marek Marciniak, Deborah Drummond Smith

The purpose of this study is to investigate the value investors place on S&P index additions relative to uncertainty surrounding the firm and the market. Investors look for…

Bank failure intensity modeling: an ACD model approach

Vasileios Siakoulis

The purpose of this study is to employ a duration-based approach to model the inter-arrival times of bank failures in the US banking system for the period of 1934-2014, in line…

Assigning Eurozone sovereign credit ratings using CDS spreads

Rick van de Ven, Shaunak Dabadghao, Arun Chockalingam

The credit ratings issued by the Big 3 ratings agencies are inaccurate and slow to respond to market changes. This paper aims to develop a rigorous, transparent and robust credit…

Real exchange rate volatility and domestic consumption in Ghana

Bernard Njindan Iyke, Sin-Yu Ho

This paper aims to examine the effects of exchange rate volatility on consumption by focusing on a small open sub-Saharan Africa (SSA) country, Ghana, which has experienced…

A multi-factor HJM and PCA approach to risk management of VIX futures

Philippe Bélanger, Marc-André Picard

Previous studies have shown the VIX futures tend to roll-down the term structure and converge towards the spot as they grow closer to maturity. The purpose of this paper is to…

A deforming time approach to the treatment of risk in projects evaluation

Salvador Cruz-Rambaud, Ana Maria Sanchez-Perez

The purpose of the paper is to introduce a novel methodology to identify and quantify the difference of financial risks exhibited by listed and unlisted companies in their debt…

Risk aversion decomposition and the impact of monetary policy surprises on aggregate tail risk aversion

Denghui Chen

The purpose of this paper is to present theoretical and empirical support that the fear component associated with rare events has an impact on risk premium and market returns.