Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...

Current standards prohibit the capitalization of internally created intangibles, resulting in a downward bias of reported assets. We estimate a capitalization model using market prices of intangibles to estimate the parameters of the capital accumulation process. Two settings provide intangible...

This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through the possible existence of a market-wide stress event. The...

The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market...

This survey reviews the literature on the political economy of financial structure, broadly defined to include the size of capital markets and banking systems as well as the distribution of access to external finance across firms.The theoretical literature on the institutional basis for...

Through this paper the author discusses the phenomenon of excessive Government borrowing and the factors that lead Governments to be so dependent on financial markets. It is argued that the combined effect of unregulated financial intermediaries, hedge funds and Credit Rating Agencies in...

Investment returns are produced by combining financial assets with human capital, the decision-making protocols of investment institutions, and the electronic infrastructure which supports the flow of information about investment opportunities. At the centre of the production process stand...

This article investigates how “systematic” adjustment costs proxied by market imperfections, and macroeconomic conditions affect capital structure dynamics in a cross-country setting. We document substantial variations in firms' capital structure adjustments across countries and,...

To test whether acquisitions by environmentally high performing firms are associated with superior cumulative abnormal returns (CAR), this study computes industry-adjusted eco-efficiency scores at the firm level, using carbon emission data from the Carbon Disclosure Project for a worldwide...