In this study, we examine how banks' stock price crash risk is affected by recourse uncertainty embedded in … securitizations. By recourse uncertainty, we mean the difficulty for equity market participants to assess the true extent of risk … recourse uncertainty is positively associated with the future crash risk of securitizing banks. The result holds after …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and … risk, especially in the early years, offering meaningful diverisification benefits to traditional stock/bond portfolios …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

) to determine regulatory credit risk capital. Both rely on estimates of obligor probabilities of default (PD). Investors … leading to increased PDs, LGDs, provision requirements (through increased expected losses) and regulatory credit risk capital …

portion of the value of a diversified equity investment portfolio will be placed at risk. In the accompanying Part 1 we … analysed this risk. We estimated that in a plausible worst case for climate damage the value at risk in 2030 may be equivalent …. This risk can be substantially lowered by a rapid energy transition to reduce greenhouse gas emissions. In this Part 2 we …

/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

of FRBs seem compelling, but there are risks: credit risk, liquidity risk, concentration risk and valuation risk. In this …

whether and why complexity is used as a proxy for risk when evaluating derivatives. We conduct three laboratory experiments to … show a robust effect consistent with investors and managers taking complexity as a proxy for risk and deeming more complex …, but equally risky, derivatives as worse for risk minimization. We also provide evidence that the effect is driven by …