The risk-return trade-off implies that a riskier investment should demand a higher expected return relative to the risk …-free return. The approach of Ghysels, Santa-Clara, and Valkanov (2005) consisted of estimating the risk-return trade-off with a … safety indicator separates the traditional risk-return relationship from financial crises which amount to fundamental changes …

model falls apart. Under traditional valuation methods, risk is divided into systematic and unsystematic risk. But there is … another way to look at risk, and that is whether it is exogenous or endogenous. Exogenous risk represents risks found outside … the financial system, and it is taken into account when doing fundamental analysis. Endogenous risk, on the other hand, is …

participants, our framework studies security repurchase agreements between risk-averse borrowers and lenders. In this manner, repo … agreements are part of an efficient risk-sharing arrangement. In turn, properties of the agreements depend on environmental … conditions such as the degree of risk aversion, default risk, and the market value of collateral. Previous work based upon risk …

changes in the global risk landscape that followed. However, there is scarcity of rigorous studies using empirical data and … analyses of statistically significant changes in global financial risks and sharp increases in conditional Value-at-Risk after … over time, and also tests of the changes in the conditional Value-at-Risk or conditional expected losses. The Clayton …

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors … could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed … systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations …

Climate change has been recently recognised as a new source of risk for the financial system. Several financial …) challenge traditional approaches to macroeconomic and financial risk analysis. Embedding climate change in macroeconomic and … supervisors about the integration of climate change considerations in financial risk assessment …

document that risk transmission is stronger in the system-to-bank direction, because different bank activities affect the flow … of risk differently in each direction. We term this phenomenon asymmetric systemic risk, measure it with net exposure … metrics, and explore the consequences and channels behind it. We show that high-net-exposure banks faced higher default risk …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …