Journal of risk and financial management

This Perspective is dedicated to the memory of Professor Joseph Mark (Joe) Gani (1924–2016) and Professor Christopher Charles (Chris) Heyde (1939–2008), two scholars whose intellectual leadership profoundly shaped applied probability, mathematical statistics, and their interface with finance, insurance, and risk management. Their contributions extend beyond specific technical results to the devel…

This paper examines the effect of a bonus cap on the compensation structure of top earners in the Dutch banking sector. Following concerns that performance-based pay may induce excessive risk-taking, regulators introduced caps on variable compensation. This paper analyzes how such regulation affects the composition of pay. The identification strategy exploits a unique institutional setting in whi…

This paper examines how the predictive content of insider trading varies across industries. Using U.S. insider transaction data from 2005 to 2025 and firm-month level measures of insider trading and forward returns, we compare technology, banking, and utility firms within a unified framework. The results show that insider purchases in banking firms contain the strongest information about future r…

Corporate risk prediction is a central problem in financial analysis and corporate risk management. This study proposes a functional approach in which firms are represented through multivariate financial trajectories constructed from retrospective windows of accounting indicators, over which a similarity measure is defined and incorporated into a k-nearest neighbors classifier. The target variabl…

In this article, we analyze the combined impact of sustainability activities and family governance on firm-level risk, measured by earning volatility, with particular attention to the timing of ESG involvement. Using panel regression models, we distinguish between short- and long-term ESG performance and between family ownership and family management. The empirical analysis reveals a negative cor…

This paper investigates the interaction between fiscal policy and non-performing loans (NPLs), a nexus often overlooked in banking stability literature. By proposing a generalized theoretical framework that augments the industrial organization (IO) theory of banking with liquidity preference theory, this study explains why a fiscal contraction (an improvement in the primary balance from deficit t…

This paper examines the relationship between artificial intelligence (AI) innovation and bank performance, the organizational channels through which these relationships operate, and the role of firm-wide adoption in shaping outcomes. Using patent-based measures of AI innovation for 31 large U.S. commercial banks from 2015 to 2024 based on the Federal Reserve’s Large Bank classification and employ…

This paper examines several portfolio rules for comparing performance against the Shanghai Composite Index. The investor can use mutual funds or sector-based Exchange-Traded funds (ETFs). Five different approaches are applied for analysis. Two core approaches are discussed in detail and compared to passive investing: The top-N strategy and the sector rotation strategy. The Top-N strategy shifts c…

This study investigates the determinants of capital structure in Moroccan agricultural SMEs, with particular emphasis on the distinction between interest-bearing debt and non-interest-bearing liabilities in a context characterized by persistent credit constraints. While traditional capital structure theories typically treat debt as a homogeneous aggregate, such an approach may obscure important f…

In this study, we propose a structured valuation framework for non-fungible tokens (NFTs), a distinct class of digital assets whose pricing mechanisms remain insufficiently understood. Based on previous empirical studies and illustrative case analyses of three major NFT collections, we synthesize insights from non-cash-flow asset theory, market microstructure, and behavioral finance to construct …

We present two models for incorporating the total effect of market friction noise into the dynamic pricing of assets and European options. The first model is developed under a continuous-time Black–Scholes–Merton framework. The second model is a discrete, binomial tree model developed as an extension of the static Grossman–Stiglitz model. Both models are market-complete and provide a unique equiv…

We examine whether speculative bubbles in shadow banking institutions contribute to the buildup and materialization of systemic risk. Using the Phillips–Shi–Yu (BSADF) bubble detection methodology and market-based systemic risk measures (ΔCoVaR and Marginal Expected Shortfall), we analyze daily data for 17 publicly listed U.S. shadow banking firms over the period 2010–2026. We document a pronounc…

This paper develops an evaluation of profitability for firms in Greece and Cyprus from 2005 to 2020. More specifically, it contains an investigation of comparative relevance and dominance of accounting versus non-financial variables, which affect the daily operations of firms, on the firms’ level of profitability. Moreover, this research examines the impact of corruption, unemployment, part-time …

We use Reiterative Truncated Projected Least Squares (RTPLS) to estimate the correlation between real GDP per capita and income inequality for the 159 counties in Georgia, USA, from 2011 to 2021. RTPLS produces a separate slope estimate for every observation (data point), where differences in these slope estimates are due to omitted variables. Our measure of inequality is the ratio of household i…

This paper aims to assess the main drivers influencing business cycle synchronization within the G7 countries. In addition to key elements such as the intensity of bilateral trade and the influence of financial linkages on synchronization; we introduce a new variable that represents the political alignment, which can substantially impact synchronization. In this study, we utilize the variable pol…

The transition from cash-based transactions to digital wallet usage represents a structural change in the business practices of micro and small enterprises (MSEs) in emerging economies. This study aims to synthesize scientific evidence on digital wallet adoption among microentrepreneurs, analyze the geographical distribution of research, and consolidate key empirical findings, with a specific foc…

This study offers a comprehensive assessment of financial market modeling through a PRISMA-based systematic review, bibliometric analysis, and content synthesis. We examined 67 review articles (1990–2024) from Web of Science to build a conceptual framework, and 4982 articles (1990–2024) were analyzed with Biblioshiny. Five main clusters emerge: AI and deep learning for prediction; hybrid models t…

This study investigates the forward discount puzzle by examining the dynamic relationships among excess returns arising from interest rate parity deviations, interest rate differentials, and the USD/JPY exchange rate. The empirical analysis employs correlation analysis, the Autoregressive Distributed Lag (ARDL) cointegration test, and variance decomposition together with impulse response function…

Artificial Intelligence (AI) is transforming audit practice by redefining traditional frameworks and enabling the automation of data analysis, risk assessment, substantive testing, and continuous monitoring. This study investigates the effect of AI adoption by audit firms on enterprise risk management (ERM). It further assesses the mediating role of Information Technology (IT) infrastructure flex…

This study investigates the volatility nexus between exchange rates, interest rates, and stock market returns in South Africa, an emerging economy characterised by deep financial integration and exposure to global capital flows. Using monthly data from January 2003 to February 2025, the analysis employs a multi-layered econometric framework combining asymmetric GARCH models (EGARCH and GJR-GARCH)…