: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a … risk-adjusted returns. …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

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 …

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 study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … more than 15% of the returns is explained by common risk factors. …

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average … latent factors driving recovery risk and default risk are estimated using a Bayesian MCMC algorithm. We find that the …

daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk … models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the …