Special Issue "Financial Risk Modeling and Forecasting"
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).
Deadline for manuscript submissions: closed (28 February 2015)
The financial crisis of 2007-2009 is considered by many economists to be the worst crisis since the Great Depression of the 1930s. While the proximate origin of the crisis was arguably the bursting of the US housing bubble, it had worldwide repercussions and the global recession that followed has spurred a heated debate concerning its causes.
Poor risk management has been highlighted to be one of the factors as to why the crisis took on the magnitude that it did. With the failure of standard volatility and Value at Risk (VaR) based single asset and/or portfolio risk management, should multivariate regime-sensitive approaches, instead, be recommended in the determination of risk measures and risk management?
Moreover, there are failures in extant risk measures to price negative externalities and endogenous risk such as liquidity funding risk, model risk and counterparty risk from interconnectedness. Indeed, can a meaningful distinction be made between micro- and macro-prudential risk management?
Finally, the so called volatility paradox which signals low volatility and correlation measures during market booms may have encouraged procyclical leverage and risk taking which exacerbate market downturns and worsen financial crises. More generally, realizing that market price systemic risk measures such as Co-VaR and Marginal Expected Shortfall have been found to have little or no early warning capabilities, how should risk be forecasted?
This special issue focuses on new thinking and approaches needed to address the shortfalls that have been observed in the aftermath of the 2007 financial crisis on modelling and forecasting financial risk. Among the general topics of research to be considered in this area are:
- Identification, estimation and forecasting of higher order risks and risk premia for extreme financial events.
- Multivariate financial models, multivariate risk measures and forecasting.
- Regime-sensitive risk measures.
- Incorporation of the Volatility Paradox in risk measures.
- Can distinctions be drawn between micro- and macro-prudential risk management?
- Systemic risk and Interconnectedness.
- Failure of market-price-based risk measures for yielding early warning signals.
Professor Sheri Markose
Professor Lars Stentoft
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. Papers will be published continuously (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are refereed through a peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed Open Access quarterly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. For the first couple of issues the Article Processing Charge (APC) will be waived for well-prepared manuscripts. English correction and/or formatting fees of 250 CHF (Swiss Francs) will be charged in certain cases for those articles accepted for publication that require extensive additional formatting and/or English corrections.
The below list represents only planned manuscripts. Some of these manuscripts have not been received by the Editorial Office yet. Papers submitted to MDPI journals are subject to peer-review.