existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

-interest income generating activities such as trading increases the rate of return on assets, and it may offer some risk …"This paper examines the implications of bank activity and short-term funding strategies for bank risk and returns … diversification benefits at very low levels. Non-deposit, wholesale funding, by contrast, lowers the rate of return on assets …