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Kapadia, Nishad - 2010

This paper shows that exposure to aggregate distress risk is the underlying source of the premiums for the Fama-French size (SMB) and value (HML) factors. Using a unique dataset of aggregate business failures of both private and public firms from 1926 to 1997, I build portfolios that track news...

Persistent link: https://www.econbiz.de/10013151437

Risk-Shifting, Equity Risk, and the Distress Puzzle

Li, Keming - 2019

Higher default probabilities are associated with lower future stock returns. The anomaly cannot be explained by strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk-shifting hypothesis. Consistent with the risk-shifting...

Persistent link: https://www.econbiz.de/10012903801

R&D Investment and Distress Risk

Zhang, Wei - 2016

This paper proposes that besides volatility, R&D can increase firms' distress risk through another channel. Unlike capital investment, R&D is more inflexible and subject to high adjustment costs. Moreover, R&D intensive firms face severe financial constraints and are more likely to...

Persistent link: https://www.econbiz.de/10013007170

Implications of Default Dependency on Portfolio Risk

Steiner, Andreas - 2021

We highlight important and specific characteristics of default risk and methodological implications. In a simulation contrasting independent, Gaussian and Clayton copulas, we also show that joint default probabilities might be a hidden source of risk in conventional portfolio models of default

Persistent link: https://www.econbiz.de/10013221213

Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk

Roncalli, Thierry; Karray-Meziou, Fatma; Pan, François; … - 2021

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided … into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second … dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset …

Persistent link: https://www.econbiz.de/10013251789

Market Liquidity Risk and Market Risk Management

Tian, Yu - 2010

problem. Equipped with the new portfolio theory, we can quantify market liquidity risk and introduce a new market risk measure …The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk … measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our …

Persistent link: https://www.econbiz.de/10013146415

Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times

Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41

Persistent link: https://www.econbiz.de/10012807897

Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

Roncalli, Thierry - 2021

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided … into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the … second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the third dimension …

Persistent link: https://www.econbiz.de/10013313503

A new multi-factor risk model to evaluate funding liquidity risk of banks

Fall, Malick; Viviani, Jean-Laurent - In: The European journal of finance 22 (2016) 10/12, pp. 985-1003

Persistent link: https://www.econbiz.de/10011715289

Imbalanced liquidity risk management : evidence from Latvian and Lithuanian commercial banks

Konovalova, Natalia; Zarembo, Julia - In: Copernican Journal of Finance & Accounting : CJF&A 4 (2015) 1, pp. 109-130

Persistent link: https://www.econbiz.de/10012222502