We explore the effect of interest rates on risk taking and find that the direction of the effect depends on the type of … risk involved. In a Bayesian setting, investments can be risky either because they are opaque --- i.e., their payoff … of risk contribute symmetrically to the overall riskiness of an investment project, we show that changes in interest …

We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk … increases, risk shifting by borrowers increases, even if their leverage is unchanged (zombie lending). (2) While the literature … increase prevails through a second channel: an increase in risk shifting. (3) Risk shifting decreases with the diversification …

The observed association between performance and organizational risk taking has usually been attributed to the … influence of performance on risk preferences. Here I show how a simple model of adaptation, which only assumes that … organizations avoid activities with poor past performance, can explain the empirically observed U-shaped association between risk …

-up the manager of the representative firm should always make production-investment decisions that conform to the risk … aversion of stockholders and then use financing decisions to offset any effect of a change in operating risk on the market …

Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In … of multidimensional density forecasts, multidimensional Value at Risk and Dependence in Risk …

Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In … of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk …

Contracts with embedded prepayment/extension options are subject to behavioral risk, due to the unpredictable exercise … in future cash flows. In this paper, we propose a general framework to model behavioral risk by exploiting a parallel … with credit risk modeling. Early redemption probabilities are assimilated to default probabilities and investor decisions …