performance of portfolios is evaluated on the basis of their raw and risk‐adjusted returns. Moreover, the impact of the stock …

Purpose – This paper aims to examine the nexus between the pricing of market-wide volatility risk and distress risk in … constructing an ex post factor that mimics aggregate volatility risk based on the new VIX index of the Chicago Board Options … Exchange, termed FVIX, as well as focuses on volatility risk in crisis versus non-crisis time periods. Design …

securitisation activity makes the financial system more stable as risk was more easily diversified, managed and allocated economy …’ risk appetite. However, empirical evidence does not uniformly support the theoretical conclusions. If banks are … and are aggressive in loan pricing. Others argue that securitisation reduces banks insolvency risk, increases …

risk attitudes change during market booms. Specifically, the authors propose that an investor’s risk aversion falls as (s …)he attempts to “keep up with the Joneses.” This paper studies changing risk attitudes induced by social interactions, and shows … that risk-seeking behavior that is initially successful may induce copycat behavior and lead individuals in the same peer …

/implications – Findings are consistent with the idea that monitoring intensity increases when ratings decline and this leads to more risk …