This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk …

We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market … risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions. We argue that asset liquidity risk … computation of a credible risk-capital allocations in financial trading units …

securitisation process. The risks in asset backed securities, such as, credit risk, prepayment risk, market risks, operational risk …

the risk premium: the historical return, the building block and the CAPM, which help to optimise asset allocation … 2000. We give an answer to some relevant questions (i) how long risk premiums take to become stable among reliable …

theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to … measure income risk as the observed variation of household income over a five year period. We find that indeed higher income … risk reduces the propensity to invest in stocks. However, when controlling for household heterogeneity as well as …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative …, increasing systematic uncertainty and incentivizing learning about the systematic risk. This learning complementarity leads to … risk concentration …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

-asset classes and factors and test the long-term performance of U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity … measured risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower … expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their …