extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

sells expensive junk stocks selected via Bayesian inference yields high risk-adjusted returns and Sharpe ratios. Our …

daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of … alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily … realized losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk - (p. 3 …

and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

analysis is enriched by including geographical, sectoral, company and ISIN-level data to assess transition risk. We find that … investment funds suffer a moderate 5.7% loss upon materialization of a high transition risk scenario. However, the risk …, convexity and volatility of individual exposures. We find that sustainable funds are less exposed to transition risk and perform …