evidence that resource dependence leads to more volatility and thus indirectly to worse growth prospects. …

explaining insurers' trading behaviour we explicitly control for country risk and momentum strategies. The results show that …

Extreme losses are the major concern in risk management. The dependence between financial assets and the market … portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression … compare it to regular systematic risk measures: the market beta and the downside beta. Furthermore, the tail regression beta …

This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a … take substantially less investment risk than pension funds, even though a market risk capital charge for insurers is yet … investors' risk taking is determined by their risk bearing capacity, where this risk bearing capacity depends on capital, size …

show that aggregate portfolio volatility is lower and returns are higher for investors from low home biased source …

Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear … diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with … risk of individual institutions beyond the minimum level attainable by linear diversification, without increasing systemic …