This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing … money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system … induced by the distress of individual companies. During the financial crisis 2007–2009, both types of risk materialized …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …