The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are …

strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk …-shifting hypothesis. Consistent with the risk-shifting hypothesis, we find that distressed firms tend to overinvest, destroy value, and … cases where CEOs receive above-average equity-based compensation. As default risk rises, credit spreads rise, equity betas …

This paper introduces a factor based on an estimated probability of bankruptcy — a measure of the risk a typical … built as a sequence of two random forests, I demonstrate my bankruptcy risk factor has predictive power in equity, bond …

role for bankruptcy as a provider of liquidity. The Creditors' Bargain theory argues that bankruptcy law should be limited … costs of these rules. We also connect our theory to the use of bankruptcy for financial institutions, where liquidity …Since the outset of the recent financial crisis, liquidity problems have been cited as the cause behind the …

-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar … flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …