Financial Risk Management and Quantitative Analysis

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Economics and Finance".

Deadline for manuscript submissions: 30 November 2024 | Viewed by 3090

Special Issue Editors


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Guest Editor
Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece
Interests: credibility premium estimation; robust estimation; ratemaking and reserving; solvency ii; actuarial risk management; non-life risks; modelling mortality and longevity risk; econometric models for insurance
Special Issues, Collections and Topics in MDPI journals

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Guest Editor
Department of Banking and Financial Management, University of Piraeus, Piraeus, Greece
Interests: pension fund investments; market microstructure; risk sharing

E-Mail Website
Guest Editor
Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece
Interests: credibility theory; stochastic mortality modelling; reserving; securitization of longevity risk; actuarial pension plans; actuarial risk management; life and health insurance pricing
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

We are pleased to inform you that we are guest editing a Special Issue entitled “Financial Risk Management and Quantitative Analysis”, which will be published in the Journal of Risk and Financial Management (ISSN: 1911-8074).

Financial risk management has recently been more important than ever. It is particularly essential for safeguarding assets, complying with regulations, and maintaining trust in modern financial markets; therefore, it is a critical component of overall financial health and long-term success for individuals, businesses, and financial institutions. On the other hand, quantitative analyses could provide a systematic and data-driven approach to risk management, enabling institutions, researchers, and regulators to assess, quantify, and mitigate risks effectively. Using quantitative approaches enhances decision making by providing a deeper understanding of the nature and potential impact of market risks, which is essential for maintaining financial stability and resilience. To properly deal with financial risks, markets have been creating derivative products, the value and the use of which are subjects of ongoing research.

This Special Issue aims to highlight the interplay between financial risk management and modern quantitative techniques. For this, we welcome the submission of high-quality articles that introduce new theoretical and applicable notions in the areas of quantitative risk management, financial risk measurement, and related topics.

Some examples of possible research topics for this Special Issue include, among other aspects, the following:

  • Financial risk management.
  • Derivative pricing.
  • Risk measures.
  • Econometric models for risk management.
  • Estimation and evaluation of risk management models.
  • Extreme value theory in risk management.
  • Portfolio insurance.
  • Hedging strategies.
  • Investment strategies with derivatives.

Dr. Georgios Pitselis
Dr. Michalis Anthropelos
Dr. Apostolos Bozikas
Guest Editors

Manuscript Submission Information

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. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short 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 thoroughly refereed through a single-blind 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 monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • financial risk management
  • derivative pricing
  • risk measures

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Published Papers (2 papers)

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Research

21 pages, 329 KiB  
Article
The Risk Management of COVID-19: Lessons from Financial Economics and Financial Risk Management
by Don M. Chance
J. Risk Financial Manag. 2024, 17(8), 358; https://doi.org/10.3390/jrfm17080358 - 14 Aug 2024
Viewed by 873
Abstract
The United States had one of the worst outcomes in the management of COVID-19 risk, with a death rate in the 94th percentile of all countries. Setting aside the obvious politicized nature of COVID-19 public health recommendations and mandates, we argue that best [...] Read more.
The United States had one of the worst outcomes in the management of COVID-19 risk, with a death rate in the 94th percentile of all countries. Setting aside the obvious politicized nature of COVID-19 public health recommendations and mandates, we argue that best practices in financial risk management provide parallels that could have served as valuable guidance. We demonstrate here that considerable signals were missed that would have required very little effort and would have been consistent with sound risk management. We also identify examples of misleading information such as that COVID-19 was particularly hard on the elderly. The data actually show that it had a much greater marginal impact on those not elderly. We show here that financial economists and risk managers have a strong knowledge base of how to process vast quantities of data to distinguish signals from noise and have much to teach the public health establishment. Full article
(This article belongs to the Special Issue Financial Risk Management and Quantitative Analysis)
15 pages, 1460 KiB  
Article
A New Proxy for Estimating the Roughness of Volatility
by Qi Zhao and Alexandra Chronopoulou
J. Risk Financial Manag. 2024, 17(4), 131; https://doi.org/10.3390/jrfm17040131 - 22 Mar 2024
Viewed by 1568
Abstract
In this paper, we propose a new proxy for the unobserved volatility process that will allow us to better understand and hence model a rough or persistent volatility. Starting with a stochastic volatility model with minimal assumptions on the volatility process, we calibrate [...] Read more.
In this paper, we propose a new proxy for the unobserved volatility process that will allow us to better understand and hence model a rough or persistent volatility. Starting with a stochastic volatility model with minimal assumptions on the volatility process, we calibrate the model to options’ data and their sensitivities to obtain an implied volatility process. Starting with this new proxy, we then study the roughness/persistence of the volatility using S&P 500 European put option daily data. We then estimate the Hurst index, i.e., roughness/smoothness parameter, of the volatility with various techniques to find that the volatility does exhibit a rough behavior, even in a low-frequency framework. Full article
(This article belongs to the Special Issue Financial Risk Management and Quantitative Analysis)
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