from their stock (and bond) prices would take less risk than non-publicly traded banks because counterparties, borrowers …, and regulators could react to adverse public market signals against publicly traded banks. In comparing the credit risk …, earnings risk, capitalization, and failure risk between publicly traded and non-publicly traded banks, the evidence in this …

depend on the form of default risk. When private loans are enforceable, but there is the risk that the government will …

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk … matrix forecasts using standard statistical loss functions and a value-at-risk (VaR) framework. This framework consists of …

This paper uses household consumption data to investigate whether uninsurable idiosyncratic risk accounts for the … idiosyncratic income shocks. Following Mankiw (1986), the paper develops an equilibrium factor model in which risk premia depend on …

past gains and losses on investors’ risk aversion. The paper first presents a simple model examining how heterogeneous … changes in investors’ risk aversion affects portfolio decisions and stock prices. Second, the paper shows empirically that …

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk … matrix forecasts using standard statistical loss functions and a value-at-risk (VaR) framework. This framework consists of …

from their stock (and bond) prices would take less risk than non-publicly traded banks because counterparties, borrowers …, and regulators could react to adverse public market signals against publicly traded banks. In comparing the credit risk …, earnings risk, capitalization, and failure risk between publicly traded and non-publicly traded banks, the evidence in this …