Based on theoretical advice and empirical evidence suggesting that risk-taking in asset allocation enhances pension … take more risk by investing heavily in equities and allocating a smaller share of the plan assets to cash, government debt …

-level risk. Hedge fund activists often pursue a restructuring of the target firms, which may increase the riskiness of the firm … create ex-ante inefficiencies by altering the incentives-risk sharing tradeoff of the manager's compensation contract …

risk into the financial system …

risk into the financial system …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions … utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail … systemic risk at selected areas and identifies risk factors. In practice, FRM is applied to the return time series of selected …