We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of … find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in … of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an … epidemic model and link valuations to infections via an asset-pricing framework with vaccines. Infections lower earnings growth …

In competitive capital markets, risky debt claims that offer high yields in good times have high systematic risk … exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … (ROE) prior to a crisis have higher systematic tail risk exposure during the crisis. Proximate causes of crises differ, but …

We present a model of flight to quality episodes that emphasizes financial system risk and the Knightian uncertainty …

, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …

(investible) are repriced according to the difference in the covariance of their returns with the local and world market. An … investible firm whose return covariance with the local market exceeds that with the world market by 0.01 will experience a firm … no significant relationship to differences in local and world covariances. These findings suggest that the CAPM has …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …