distinguish between risk- and mispricing-based anomalies. …

, exchange rate volatility, and the forward exchange market's risk premium. Mechanically, the model begins as a system of … equation of the risk premium is derived which will allow researchers to uncover the risk premium's economic determinants. …

This paper develops and applies a new maximum likelihood method for estimating the Arbitrage Pricing Theory (APT) model … with observable risk factors. The approach involves simultaneous estimation of the factor loadings and risk premiums and …

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …

Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …