components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to …We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …

We investigate the information content of stock correlation based network measures for systemic risk rankings, such as … complement currently available systemic risk ranking methods based on book or market values. A further analytical investigation …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …