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 …

idiosyncratic proxies for risk. Moreover, the model features endogenous balance sheet choices and a novel formulation of the … targeted leverage ratio, in which assets are risk-weighted by risk-sensitivity measures. The results highlighted in this paper …

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 …

. For this purpose we examine the risk profiles of Collateralized Debt Obligations (CDOs) in some detail. The analyses … reveal significant differences in the risk profile between CDO tranches and corporate bonds, in particular concerning the … considerably increased sensitivity to systematic risks. This has farreaching consequences for risk management, pricing and …

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …