The interaction of capital and risk for trading and treasury units is of primary interest in the corporate governance … of banks as it links operational profitability and strategic risk management. During the financial crisis, several banks …' trading units suffered significantly higher losses than their risk capital charged based on value-at-risk constraints. There …

of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a … pandemic is similar to the property risk associated with catastrophic events such as earthquakes and hurricanes and the … security used to hedge the risk is similar to a CAT bond. This work looks at the incentives associated with insurance …

finance per se did not trigger the last financial crisis. The crisis was propagated around the world because of poor risk …

Building on the trade-off between agency costs and monitoring costs, we develop a dynamic theory of optimal capital … structure with financial distress and reorganization. Costly monitoring eliminates the agency friction and thus the risk of … whenever it is financially distressed, i.e., when the risk of liquidation is high. If a monitoring opportunity arrives in time …

I propose a theory of debt maturity as an incentive device to motivate innovation when contracts are fundamentally … partially insures the entrepreneur against failure and thus motivates innovation. The theory has novel empirical implications …

I propose a theory of debt maturity as an incentive device to motivate innovation when contracts are fundamentally … partially insures the entrepreneur against failure and thus motivates innovation. The theory has novel empirical implications …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …