as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk …

Financial dealer firms have invested heavily in recent years to develop information systems for risk measurement. I … firms to assemble risk information. I look beyond questions of risk measurement methodology to investigate the implications … of risk management information systems. By examining several theoretical models of the firm in the presence of asymmetric …

High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If … managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment … decisions from the perspective of well-diversified shareholders. We empirically document that when idiosyncratic risk rises …

Recent empirical evidence suggests that the variance risk premium, or the difference between risk-neutral and … similar to the pattern previously documented for the U.S. Defining a "global" variance risk premium, we uncover even stronger … compensation for world-wide variance risk to be the same across countries. Our findings are broadly consistent with the …

risk-return efficiency locus faced by the individual investor. The building blocks of the inverse turn out to be the …

formulation and execution of the client firm's risk management strategy that was to be implemented through the large-scale use of …

We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular … greater country risk. …

From a credit risk perspective, little is known about the distress factors -- economy-wide or firm-specific -- that are … risk models. Empirically, we find that firm-specific distress factors play a role (beyond treasuries) in explaining … defaultable coupon bond yields. Credit risk models that take into consideration leverage and book-to-market are found to reduce …

In recent years many banks have attempted to improve the measurement and management of credit risk by assigning risk … information on the use of risk ratings by smaller banks. Recent revisions to the Federal Reserve's Survey of Terms of Business … of risk rating systems at banks of all sizes. We find that the use of risk rating systems is quite widespread, but that …

quantities, higher average prices, and greater risk levels for small business credits under $100,000. These findings are …