There is little empirical evidence regarding downside risk in asset pricing, due in part to problems inherent in … estimating downside risk. We argue that Berk and van Binsbergen (2016)'s approach to testing asset pricing models using the … relation between investor flows and risk-adjusted fund returns is well suited for examining the merits of downside risk. We …

arising from a fund's assets, investor risk reflecting the likelihood that a fund's shareholders will redeem shares … disruptively, and sponsor risk due to uncertainty about MMF sponsors' support for distressed funds. I find that during the run on … three types of risk. In contrast, as the asset-backed commercial paper (ABCP) crisis unfolded in 2007, many MMFs suffered …

to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … random walk model with time varying parameters is largely used in the risk industry for Value-at-Risk4 purposes. Its main …

, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host of …

theoretical foundation for the recent empirical findings showing that the risk premium, volatility, and Sharpe ratio on short … pricing models, such as long-run risk, external habit formation, and rare disaster risk models. Our continuous-time setup …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …