Journal of Risk Finance: Volume 20 Issue 5

The impact of market sectors and rating agencies on credit ratings: global evidence

Kerstin Lopatta, Magdalena Tchikov, Finn Marten Körner

A credit rating, as a single indicator on one consistent scale, is designed as an objective and comparable measure within a credit rating agency (CRA). While research focuses…

Shadow prices of non-performing loans and the global financial crisis: Empirical evidence from US commercial banks

Ameni Tarchouna, Bilel Jarraya, Abdelfettah Bouri

This paper aims to determine the opportunity cost borne by US commercial banks to reduce non-performing loans (NPLs) by one unit within the global financial crisis framework.

Relationship between price and volume in the Bitcoin market

Eray Gemici, Müslüm Polat

Bitcoin has recently become the focal point of investors as a digital currency and an alternative payment method. Despite Bitcoin being in the spotlight, a gap in the literature…

How to derive optimal guarantee levels in participating life insurance contracts

Alexander Braun, Marius Fischer, Hato Schmeiser

The purpose of this paper is to show how an insurance company can maximize the policyholder’s utility by setting the level of the interest rate guarantee in line with his…

Effect of pre-disclosure information leakage by block traders

Tai-Young Kim

This paper aims to investigate pre-disclosure information leakage by block traders and market reactions to disclosures of off-hours block trading compared to off-market trading.

Sovereign rating announcements and the integration of African banking markets

Jianan He, Dirk Schiereck

The purpose of this paper is to examine the information spillover of sovereign rating changes on the market valuation of bank stocks in Africa.

How do firms manage their interest rate exposure?

Andreas Hecht

This paper aims to identify how non-financial firms manage their interest rate (IR) exposure. IR risk is complex, as it comprises the unequal cash flow and fair value risk. The…

Savings operations with random commencement and conclusion

María del Carmen Valls Martínez, Salvador Cruz Rambaud, Emilio Abad Segura

The progressive aging of the population is suggesting that public pension plans should be increasingly supplemented by private savings schemes. Accordingly, this supposes the…

Risk-mitigating effect of ESG on momentum portfolios

Lars Kaiser, Jan Welters

Existing empirical evidence on the impact of environmental, social and governance (ESG) integration on momentum portfolios is limited. The combination of the two is relevant given…

Portfolio allocation across variance risk premia

Julien Chevallier, Dinh-Tri Vo

In asset management, what if clients want to purchase protection from risk factors, under the form of variance risk premia. This paper aims to address this topic by developing a…

Overcoming economic stagnation in low-income communities with programmable money

Yakko Majuri

The purpose of this study hopes to encourage further research into the topic of local currencies, as well as specific research into increasing the efficiency of these systems…