Published by: Infopro Digital Risk
Editor(s): Christoph Reisinger, University of Oxford
The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas:
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- The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans
- Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
- Least squares Monte Carlo methods in stochastic Volterra rough volatility models
- Pricing options using expected profit and loss measures
- Dynamic rebalancing of a risk parity investment portfolio
- Machine learning for categorization of operational risk events using textual description
- Systemic operational risk in the Australian banking system: the Royal Commission
- Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
- Performance validation of representative sample-balancing methods in loan credit-scoring scenarios
- Scenario design for macrofinancial stress testing
- Modeling maxima with a regime-switching Fréchet model
- Assessing systemic fragility: a probabilistic perspective
- Falling use of cash and population age structure
- Imbalanced data issues in machine learning classifiers: a case study
- Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
- Modeling very large losses. II
- Enhanced expected impact cost model under abnormally high volatility
- Dynamic initial margin estimation based on quantiles of Johnson distributions
- Explainable artificial intelligence for credit scoring in banking
- Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
- Sovereign probabilities of default in the euro area
- Analytical conversion between implied volatilities based on different dividend models
- The Compliance Index: a behavioral approach to compliance risk management in the (post-) Covid-19 era
- Nonparametric estimation of systemic risk via conditional value-at-risk
- Energy trading efficiency in ERCOT’s day-ahead and real-time electricity markets
- Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices
- Risks of long-term auto loans
- Forecasting the realized volatility of stock markets with financial stress
- Counterparty risk allocation
- Risk contagion and bank stability: the role of credit risk and liquidity risk
- Model risk in mortality-linked contingent claims pricing
- Is volatility a friend or enemy of your stock and fund investments?
- Islamic mutual funds: contracts, structures, screening and pricing mechanisms
- Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
- The statistics of capture ratios
- Adjoint differentiation for generic matrix functions
- Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
- How does the pandemic change operational risk? Evidence from textual risk disclosures in financial reports
- Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
- Modeling systemic operational risk in the Covid-19 pandemic
- Pricing the correlation skew with normal mean–variance mixture copulas
- Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
- Changes in operational risk and its determinants under Covid-19
- “Closing the gaps: moving forward on tail risks in central clearing”: a central bank of issue perspective
- Distance to default based on the CEV–KMV model
- Model risk quantification based on relative entropy
- An effective credit rating method for corporate entities using machine learning
- A multivariate model for hybrid wind–photovoltaic power production with energy portfolio optimization
- Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process calculations
- Generalized additive modeling of the credit risk of Korean personal bank loans
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