’s investments. As a result, aggregated risk statements provide market information about new and evolving risks over and above the … insights to be gleaned from any single risk disclosure. But disclosures’ utility comes not from their superior ability to …’ perception of market risks in the aggregate. We evaluate our thesis through an analysis of all U.S. mutual funds’ narrative risk …

products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different … credit indices, to answer the following questions: Is there enough diversification of risk in a global credit portfolio to … allow for a good hedge? Is basis risk higher in North America than in Europe? Does the effectiveness of the hedge increase …

traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

This paper examines the exposures of low-volatility portfolios to various sources of systematic risk. Our analysis … includes interest rate, implied volatility, liquidity, commodity, sentiment, macroeconomic, and climate risk factors. We find … that low-volatility portfolios lower the exposure to all significant drivers of systematic risk. The risk reductions vary …

Financial markets enable risk sharing and efficient allocation of capital. We characterize how these roles interact in … a “feedback effects” model with diversely informed, risk-averse investors and a manager who learns from prices when …, consequently, investors’ ability to hedge risk. We show that this is a robust feature of general investment decisions, and outline …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using … a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …