Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law … invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well …

expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient … the results suggest that the CAPM's pricing error is small when slightly inefficient, positively weighted proxies are used. …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

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 …

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit … the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous … benchmark is used to derive efficient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a …

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported … normally and fat tailed distributed returnsand show that adjustment is particularly relevant for downside risk measures in … thecase of fat tails. A hedge fund case study reveals that the unadjusted risk measuresconsiderably underestimate the true …