lower during recession because regulators and investors focus more on downside risk and require conservative reporting by …

Preventing systemic risk from the perspective of bank risk accumulation has been widely researched and supported. This … study focuses on the impact of economic volatility on bank risk accumulation and systemic risk. Using the proportion of non …-core liabilities as the bank's risk accumulation index, we show that low economic volatility increases bank risk accumulation but …

value of the bank and its volatility by using an indifference curve model of the bank's choice of optimal risk. While the … first-best optimal risk maximises the value of the bank, the shareholders select suboptimally high risks under bail … behaviour. Requiring higher rate of return for higher risk, reflecting the costs of monitoring, is shown to alleviate the agency …

-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the … long and the short of the risk-return trade-off, Whatś beneath the surface? option pricing with multifrequency latent … dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies …

economy tends to damage risk sharing when the composition of collateral is biased toward private assets. As we show that a … stable economy is more propitious to the creation of private collateral, stability makes risk sharing increasingly fragile to … valuation of collateral. Both private and public assets are used in insurance markets as collateral, but their exposure to …