on insolvency risk will be defined by recalling the concepts of Cash Flow-at-Risk and Capital-at-Risk. A first check on … through a simulation model. The scenario analysis allows us to examine how financial and risk policies oriented by insolvency …This conceptual paper focuses on the relationship between insolvency, capital structure, and value creation. The aim is …

In previous works, the importance of risk management implementation was addressed with regard to the problem of … bankruptcy threat, with the explanation of risk impact on higher bankruptcy costs or the underinvestment problem. However, the … evaluation of the impact of risk outcomes is technically linked to risk frequency and risk severity as the two dimensions of the …

We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that … incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity … risk is defined as the risk that a security or a portfolio of securities cannot be sold or bought without causing changes …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … index and, within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …