Calls for papers

 

International Journal of Financial Engineering and Risk Management

 

Special Issue on: "New Facets of Old Risk: A Quantitative Approach"

Guest Editors:
Laura Ballotta and Ioannis Kyriakou, City University London, UK
Gianluca Fusai, Università del Piemonte Orientale, Italy and City University London, UK

For this special issue, we invite the submission of original high-quality research papers on all aspects of risks in a changing economic, financial and regulatory environment, with a special emphasis on, but not limited to, market, commodity, credit and liquidity risks. Papers related to these themes but with a more numerical or econometric emphasis are also welcome.

Papers must be analytical in nature, i.e. if theoretical, using mathematical models (e.g. propositions with proofs) and, if empirical, using statistical inference. Descriptive or case study papers will not be considered.

Subject Coverage
Suitable topics include but are not limited to:

• Credit risk modelling, with a special emphasis on counterparty credit risk valuation, credit and debt value adjustment and wrong way risk
• Advanced dependencies modelling in market and credit risk
• Liquidity modelling
• High frequency trading: player interaction, modelling and optimal strategies
• Hedging dependencies risks
• Financial engineering and structured products
• Numerical methods for market and credit risk
• Empirical analysis of market and credit risk
• Catastrophe risk and market risk: modelling and pricing of CAT bonds
• Market risk in commodity markets: modelling of commodity prices, estimating value-at-risk for commodities and commodity derivatives, and pricing of commodity derivatives

Notes for Prospective Authors

Submitted papers should not have been previously published nor be currently under consideration for publication elsewhere. (N.B. Conference papers may only be submitted if the paper has been completely re-written and if appropriate written permissions have been obtained from any copyright holders of the original paper).

All papers are refereed through a peer review process.

All papers must be submitted online. To submit a paper, please read our Submitting articles page.

Important Dates

Submission deadline: 31 January, 2014

Final decisions of accepted papers: 31 June, 2014