The skewness in physical distributions of equity index returns and the implied volatility skew in the risk …

normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions …. Moreover, in the period prior to the recent ‘Great Recession’ credit risk plays no role in explaining CDS price changes. The … dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk …

.1%–4% between the components of the objective and the sample moments. An application for sensitivity analysis of portfolio risk … assessment with Value-at-Risk VaR) is provided. A comparison with previous methods available in the literature suggests that …

between corporate social performance (CSP) and financial risk for an extensive panel data sample of S&P 500 companies between … that corporate social responsibility is negatively but weakly related to systematic firm risk and that corporate social … irresponsibility is positively and strongly related to financial risk. The fact that both conventional and downside risk measures lead …

the new capital requirements for (a) liquidity risk and credit risk through the so called Incremental Risk Charge, and (b …) the risk of extreme market movements, which we measure with stress tests based on the 2007-2009 financial crisis. We find … may be due to the assumed risk reduction stemming from their hedging strategies. However, their effectiveness in crisis …