Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only … is consistent with investors’ actual perception of risk. Our method is presenting investors return distributions with … different risk characteristics for which they have to state their perceived risk and make investment decisions. Our results hint …

We examine how a firm's operational slack is associated with current income and future stock price crash risk. By doing … Slack, which is based on excess working capital, is associated with higher current profits and higher future crash risk …, general, and administrative expenses, is associated with lower current income and lower future crash risk. This evidence is …

We derive a model of bond pricing under ambiguity, showing that ambiguity interacts with risk to determine spreads … magnitude as that of risk. Furthermore, ambiguity and risk amplify each-other; spreads on higher risk bonds are more sensitive …

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of … ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more …

estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few … underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR …

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk …

estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible …

Firm managers of defined-benefit (DB) pension plan sponsors reveal their primary motives — risk-shifting or risk …-management — through their assumed expected rates of return (ERRs) on the plan assets. Managers with risk-shifting motives choose high ERRs … to exploit flexible internal financing from employees via pension underfunding. Those with risk-management motives choose …

. This approach accommodates both a wide range of imprecise views as well as uncertainty in risk measures …

Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed …, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio … or the tangency portfolio. The authors also introduce a new risk parity measure called ‘outcome risk parity’ which allows …