expected return premia because they are proxies for systematic risk factors in conditional and/or multi-factor CAPM. Much of … by the betas to the systematic risk factors. Our inference is based on a random coefficient panel data model. Confirming … reliable evidence in favor of the risk-based explanations of the excess returns on company fundamentals …

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …

In this paper we introduce a discrete time pricing model for a European call option when the log-return of the … underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute …

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …

-varying heterogeneity between agents in their demand for insurance against aggregate risk. Formally, we build an infinite-horizon model … where agents face an aggregate risk, but also different levels of idiosyncratic risk. We manage to characterize analytically …

This document is a quantitative analysis of risk arbitrage strategy across a sample of 1,911 M&A deals announced … the risk/yield calculation for a risk arbitrage position. The main factors are: US unemployment, the investor confidence …

The topic of risk incorporates a variety of definitions within different fields such as psychology, sociology, finance …, and engineering. In academic finance, the analysis of risk has two major perspectives known as standard (traditional …) finance and behavioral finance. The central focus of standard finance proponents is based on the objective aspects of risk …

This paper mainly focuses on the correlation between live hedge funds return and their value at risk (VaR), which is … return and VaRs (parametric, non-parametric and GARCH). Further research is conducted by sub-dividing the overall period into … Financial Crisis. Besides, the authors identify the approximately negative correlation between hedge fund portfolio return and …

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This … is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The …

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …