Advances in Volatility Modeling and Risk in Markets

Dear Colleagues,

Modeling volatility and risks in financial markets/insurance is a classic topic in the area of risk modeling. Although significant research has been conducted within this stream, modelling volatility and risk is ever evolving due to the identification of new risks (or risks that are still not well understood) or unexpected events in financial markets/insurance/commodities/specific industries/countries, the speed at which information travels and the connection between markets.

In the Special Issue, we aspire to provide a ‘showcase’ for all the latest developments in the area of volatility and risk modelling, from a market perspective along with assessing these on a firm level (or countries). We are also interested in extrapolating this to the existence of factor-based premiums, style-based investment strategies and portfolio optimization. We are also keen to look at risks within portfolio construction, be it behavioral from an investor’s perspective (attitudes towards risk) or statistical classifications/characteristics (variance, skewness, kurtosis), along with assessing the impact of macro-level factors/policy decisions (monetary policy/market liquidity) on firm-level risks (or markets) while looking at these facets within recessionary and non-recessionary settings. Finally, we are interested in incorporating behavioral factors within volatility/risk modelling and seeing how this might impact traditional views of modeling.

Keywords: modeling risks; portfolio construction; portfolio risk; factor-based premiums; style investing; time series modeling; panel data modeling; herding; asset pricing; interest rates; firm-level and market-wide illiquidity; default risk; business cycles; extreme events/risks

Dr. Evangelos Giouvris
Dr. Mohammad Sharik Essa
Guest Editors

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