We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk … shows that both financial effects increase significantly during crises. Strikingly, the risk-return tradeoff is … international stock markets confirm the increase in the leverage effect, whereas the international evidence on the risk …

(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility … Paradox. Concepts such as (4) illiquidity and liquidity mismatch, (5) endogenous leverage, (6) the Paradox of Prudence, (7 …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …

.g. liquidity, also play a role. For financial researchers the model has several advantages as it allows one to disentangle which … robustness of a bank when it comes to risks that affect both the solvency and liquidity situation of the bank. …