This paper devises and tests a state-dependent approach to forecasting the downside risk of financial assets. The … approach has three merits. First, it proposes downside risk prediction conditional on the state of the real economy to … recognize the countercyclical nature of financial risk. Second, while integrating macroeconomic information into the modeling of …

This paper empirically examines the impact of market discipline on bank risk taking. Using a sample of 321 financial … period 1996-2010, our findings suggest that market discipline helps reduce equity risk and credit risk of banks. We also find … that the negative impact of market discipline on bank risk is stronger: in the presence of a risk-adjusted insurance …

equity risk (systematic risk, total risk, and idiosyncratic risk) and default risk/credit risk. We analyse 218 listed banks … across 15 Asia-Pacific countries, and find that bank risk is positively related to bank capital and negatively related to … charter value. Consistent with Pillar 3, Basel II and Basel III, we also find that bank risk is negatively associated with …