Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining … riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

avoids bankruptcy in the long run. It is not time-consistent. …

in closed form expressions. The approximated value at risk has been calculated by generalizing the procedure exposed in …

While empirical literature has documented a negative relation between default risk and stock returns, theory suggests …. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is … that default risk should be positively priced. In this paper, we calculate monthly probabilities of default (PDs) for a …

This paper introduces a factor based on an estimated probability of bankruptcy — a measure of the risk a typical … built as a sequence of two random forests, I demonstrate my bankruptcy risk factor has predictive power in equity, bond … investor will lose their investment, or the cost of insuring that investment. Using an underlying model of firm bankruptcy …