options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity … increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk …

the US banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk during the 2009 … spreads declined in response to the disclosure of stress test results. We also find that bank systematic risk, as measured by … systemic risk …

institutions’ systematic risk. We then develop an index of the estimated equity value loss as the long-rum marginal expected … shortfall (LRMES). LRMES contributes to compute systemic risk (SRISK) contribution of these firms, which is the capital that a … firm is expected to need if we have another financial crisis.FindingsLarge acquiring banks decrease systemic risk …

firms which are the least vulnerable to takeover threat (the least idiosyncratic risk) outperform the others. We also find …

impact that dominant stockholder's share pledging has on both systematic right-tail risk and left-tail risk. Furthermore, we … by share pledges, will reduce the systematic right-tail risk. Second, the controlling shareholder who pledges their own … holdings will bring down the systematic left-tail risk through the earnings management channel. Additionally, we conduct …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …

We study the magnitude of tail risk --- particularly lower tail downside risk --- that is present in intraday versus … overnight market returns and thereby examine the nature of the respective market risk borne by market participants. Using the … that overnight return innovations exhibit significant tail risk, while intraday innovations do not. We illustrate this …