Companies have overlapping exposures to many different features that might plausibly affect their returns, like whether they're involved in a crowded trade, whether they're mentioned in an M&A rumor, or whether their supplier recently missed an earnings forecast. Yet, at any point in time, only...

This study examines the sources of credit risk associated with asset securitizations and whether credit rating agencies and the bond market differ in their assessment of this risk. Measuring credit risk using credit ratings, we find the securitizing firm's credit risk is positively related to...

Central banks and supervisory authorities regularly conduct stress tests of banks. As losses accumulate in stress scenarios, banks' equity position worsens, and they must pay higher interest rates to retain funding. I explore how variations of Merton-type models can be used to measure bank risk,...

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled model of asset price bubbles in continuous time and...

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled model of asset price bubbles in continuous time and...

This paper analyzes optimal prevention in a situation of multiple, possibly correlated risks. We focus on probability reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second exogenous risk increases the level of prevention...

While one might expect athletes to be strongly averse to extending their career too long when there is a chance of losing everything due to a concussion or a catastrophic injury, experimental subjects consistently played longer than the optimal amount for risk-neutral decisions. A commitment to...

We show that the disposition to focus on favorable or unfavorable outcomes of risky situations affects willingness to take risk as measured by the general risk question. We demonstrate that this disposition, which we call risk conception, is strongly associated with optimism, a stable facet of...