Journal of Risk Finance: Volume 22 Issue 3/4

Calculating lifetime expected loss for IFRS 9: which formula is measuring what?

Bernd Engelmann

The purpose of this article is to derive formulas for lifetime expected credit loss of loans that are required for the calculation of loan loss reserves under IFRS 9. This is done…

How inefficient is an inefficient credit process? An analysis of the Italian banking system

Peter Cincinelli, Domenico Piatti

The paper aims to disentangle the physiological credit risk from the credit risk coming from the inefficient screening and monitoring management process. The analysis is conducted…

Cyber risk management in SMEs: insights from industry surveys

Felicitas Hoppe, Nadine Gatzert, Petra Gruner

This article aims to gain insights on the current state of small- and medium-sized enterprises’ (SMEs’) cyber risk management process and to derive future research directions.

Dividend policy and the downside risk in stock prices: evidence from the MENA region

Omar Farooq, Harit Satt, Fatima Zahra Bendriouch, Diae Lamiri

The aim of this paper is to document the impact of dividend policies on the downside risk in stock prices.

A new approximation for the risk premium with large risks

Richard Watt, Philip Gunby

The Arrow–Pratt approximation to the risk premium is only valid for small risks. In this paper we consider a second approximation, based on risk-neutral probabilities and which…

Contagions in interconnected power markets

Rangga Handika

This paper offers an alternative approach to assessing contagions in price and load in the Australian interconnected power markets. This approach enabled us to identify a…