We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … 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 …

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 … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …