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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- A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting
- The validation of different systemic risk measurement models
- Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates
- What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
- Target-date funds: lessons learned?
- The information value of past losses in operational risk
- Application of the radial basis function in solving an operational risk management model: investigating the probability of bank survival with risk reserves
- Does board diversity mitigate firm risk-taking? Empirical evidence from China
- Instabilities in Cox proportional hazards models in credit risk
- Banking on personality: psychometrics and consumer creditworthiness
- An experimental study of capacity remuneration mechanisms in the electricity industry
- Locational arbitrage strategies for Shanghai crude futures
- Scaling up hydrogen production in France: learning rates versus economies of scale strategies
- Quantifying the economic benefits of payments modernization: the case of Canada’s large-value payment system
- Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
- A dynamic program under Lévy processes for valuing corporate securities
- The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets
- Value-at-risk models: a systematic review of the literature
- A theory for combinations of risk measures
- Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event
- Payment coordination and liquidity efficiency in wholesale payments systems
- Managerial connections and corporate risk-taking: evidence from the Great Recession
- A risk-based internal audit methodology for Greek local government organizations
- Climate-policy-relevant sectors and credit risk
- Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling
- Calibration alternatives to logistic regression and their potential for transferring the statistical dispersion of discriminatory power into uncertainties in probabilities of default
- Estimating risks of European option books using neural stochastic differential equation market models
- Value-at-risk and the global financial crisis
- Measuring tail operational risk in univariate and multivariate models with extreme losses
- Audit committee characteristics and the audit report lag in Greece
- Measuring the systemic importance of Chinese banks: a comparison of different risk measurement models
- Does the asymmetric exponential power distribution improve systemic risk measurement?
- Operational risk: a global examination based on bibliometric analysis
- Robust pricing and hedging via neural stochastic differential equations
- Allocating and forecasting changes in risk
- Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network
- 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
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