diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our … sovereign debt discount. We introduce long term government debt, which gives rise to the possibility of capital losses on bank … intermediaries causes bond prices to drop triggering capital losses at the bank under intervention. This mechanism shows the limits …

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental … about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …