This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR …) and conditional value-at-risk (CVaR). Comparing a bubble and non-bubble economy, it is shown that asset price bubbles … the standard risk measures is due to the increased right skew in a firm value's distribution due to bubble expansion. The …

of individual default risk may facilitate risk-taking. In equilibrium, credit-constrained borrowers may optimally choose …