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:
Individual RSS Feed not available. All content aggregated into primary Risk.net RSS Feed.
- 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
- Stressed distance to default and default risk
- Quantifying model selection risk in macroeconomic sensitivity models
- A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
- Shrinking beta
- Do DEXs work? Using Uniswap V2 to explore the effectiveness of decentralized exchanges
- Dynamic spillover between the crude oil, natural gas and BRICS stock markets
- Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses: a Monte Carlo investigation
- Forecasting the European Monetary Union equity risk premium with regression trees
- Optimal trade execution with uncertain volume target
- A novel derivation and interpretation of the Kelly criterion
- A three-factor hazard rate model for single-name credit default swap pricing
- Repo haircuts and economic capital: a theory of repo pricing
- Exploring the equity–bond relationship in a low-rate environment with unsupervised learning
- Merton’s model with recovery risk
- A general firm value model under partial information
- General bounds on the area under the receiver operating characteristic curve and other performance measures when only a single sensitivity and specificity point is known
- Do sovereign wealth funds dampen the effect of oil market volatility on gross domestic product growth?
- Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines
- Deep learning for efficient frontier calculation in finance
- Future portfolio returns and the VIX term structure
- Subsampling and other considerations for efficient risk estimation in large portfolios
- A new approach to detecting change in credit quality
- Detecting prudence and temperance in risk exposure: the hybrid variance framework
- How climate change may impact operational risk
- Expected shortfall model based on a neural network
- An end-to-end deep learning approach to credit scoring using CNN C XGBoost on transaction data
- How a credit run affects asset correlation
- Can we take the “stress” out of stress testing? Applications of generalized structural equation modeling to consumer finance
- Empirical research on the relationship between renewable energy consumption, foreign direct investment and economic growth in South Asia
- Correlations in operational risk stress testing: use and abuse
- Procyclicality of central counterparty margin models: systemic problems need systemic approaches
- Trading strategies and weekly anomalies in the stock market: Mexico, Indonesia, Nigeria and Turkey
- The status of people risk management in UK banks
- The customer settlement risk externality at US securities central counterparties
- Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
- Technology risk management in fintech: underlying mechanisms and challenges
- Modeling the exit cashflows of private equity fund investments
- High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
- Dynamics of biofuel prices on the European market: the impact of EU environmental policy on resources markets
No Journal Account Available. Publisher Only.