out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk …-shifting hypothesis. Consistent with the risk-shifting hypothesis, we find that distressed firms tend to overinvest, destroy value, and … cases where CEOs receive above-average equity-based compensation. As default risk rises, credit spreads rise, equity betas …

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Purpose: SME sector credit risk has received attention in research from several dimensions of the financial system. SME … current research on the area, we approach SME risk from perspective of FIs own risk assessments and compare it to how SME risk … rating and measurement compares to other counterparties. Design/methodology/approach: We use published risk rating data from …

disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …