We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein …-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they … "synchronized'' idiosyncratic risk. Third, combined with high market risk premium in the bad states, the clustered risk …

debt maturity. If “observable” corporate debt maturity and ex ante “unobservable” corporate risk-taking is highly …

Purpose – This study develops a non-traditional measure of risk, an Exposure-Based Volatility, for the non … historical standard deviation. It is further shown that through its application the particular measure of downside risk leads to … a useful contribution in the corporate risk management process.Research limitations/implications – This study …

The theory of cost of capital (long-term) assets [Sharpe, 1964, Lintner, 1965, Mossin, 1966] based on G. Markovits … is substantially uniform concerning risks of the assets addressing on it. However this theory doesn't assume possibility … changes, the basic theory isn't capable in such conditions to give an objective assessment of assets. At the same time …

such policies. A typical industry practice consists in using fund mapping regressions to represent basis risk stemming from …

The empirical tests of traditional structural models of credit risk tend to indicate that such models have been …-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …