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 …

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 …