We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these …

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 …

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

predictive power for the cross-sectional repricing of systematic risk when barriers to capital movements are removed …

their risk assessments and outcomes to those from a simple methodology that relies on publicly available market data and … market data; (iii) This discrepancy arises due to the reliance on regulatory risk weights in determining required levels of … capital once stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in …

assess risk magnitudes in terms of stresses to both economic values and also liquidity. Exposures would be measured before …Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

bonds, greater risk-bearing capacity in the U.S. than the rest of the world, and nominal rigidities. A flight to safety … generates a dollar appreciation and decline in global output. Dollar bonds thus command a negative risk premium and the U ….S. holds a levered portfolio of capital financed in dollars. We quantify the effects of safety shocks and heterogeneity in risk …

these rejections are in part a consequence of the presence of omitted risk factors which are associated with nonzero risk … model should partially reflect exposure to these omitted sources of systematic risk and,hence, should help explain expected … residual risk effect in the previous literature:(1) nonlinearity of the residual risk effect and (2) the inadequacy of the …