We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking … asymmetric environment, the returns on the alternative risk-free investment are allowed to differ between the entrepreneurs and … the presence of asymmetric options establishes links between the risk-free and risky sectors as well as between the real …

We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking … asymmetric environment, the returns on the alternative risk-free investment are allowed to differ between the entrepreneurs and … the presence of asymmetric options establishes links between the risk-free and risky sectors as well as between the real …

the risk surrounding a firm's fundamental value. We find that the spread in analysts' state-contingent valuations captures … fundamentals. Similarly, asymmetry embedded in the analysts' scenario-based valuations conveys information about asymmetric risk … in fundamentals. The results confirm that analysts' valuations reflect both state-contingent risk assessments and non …

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The …

This paper examines the effect of labor unemployment risk on firm risk. Using unemployment insurance benefits as a … proxy for unemployment risk, we find an economically significant positive relation between unemployment risk and firm risk …

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use …

declines, because peers care less about future cooperation. We decompose industries' exposure to consumption risk into two …