Journal Of Risk

BV-VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets

A generic stress testing framework with related economic shocks and possible regulatory intervention

Making Cornish-Fisher fit for risk measurement

Measuring latent risk preferences: minimizing measurement biases

Counterparty risk: credit valuation adjustment variability and value-at-risk

Could holding multiple safe havens improve diversification in a portfolio? The extended skew-t vine copula approach

The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework

The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy

Initial margin with risky collateral

Optimal equity protection of Solvency II regulated portfolios