measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which … the investment opportunity set contains exploitable asset returns. Foresight and Active Management Risk reflect how well a … recommendations from a set of Investment Houses. We find little Foresight, but considerable Active Management Risk …

predictable loan fees in order to mitigate the risk of unexpected loan fee increases. I present evidence that loan demand is the …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …