The last financial crisis sheds dramatically light on the instability threatened by systemic risk. In this regard no common view appears to exist on the definition, the measurement and real impact on financial system. This paper aims to analyze the relation between systemic risk and portfolio...

Over the past decade, Environmental, Social and Governance Investment or ESG Investment has become a mainstream investment approach in the investment community around the world, especially in the US and Europe. There is increasing evidence from academic and practitioner research around the world...

In this study, we propose a set of covariates that exploit information content of hedge funds' relative size, performance, growth, tail risk, and past liquidation rate, in predicting their liquidation. Empirical results show that our proposed covariates exhibit significant predictive power for...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

The ratio between the share price and current earnings per share, the PE ratio, is widely considered to be an effective gauge of under/overvaluation of a corporation's stock. Arguably, a more reliable indicator, the Cyclically-Adjusted Price Earning ratio or CAPE, can be obtained by replacing...

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S....

With greater economic and financial market integration, it is critical for asset managers to choose the investment universe that provides superior diversification and performance op-portunities. Therefore, it is important to investigate whether international diversification benefits arise from...

We introduce Climate Change Valuation Adjustment (CCVA) to capture climate change impacts on CVA+FVA that are currently invisible assuming typical market practice. To discuss such impacts on CVA+FVA from changes to instantaneous hazard rates we introduce a flexible and expressive...

This study provides an overview of the model evolution and research trends in the field of financial and risk modelling by applying a bibliometric approach from 2008–2019 and an overall citation network analysis. We present a content analysis of contributing authors, countries, journals, main...