interest rate duration and time-varying exposure to default risk. We estimate a regime switching model and show that shocks to … default risk have a large impact on loan returns when leverage is high and a much smaller impact on loan returns when leverage … is low, consistent with standard models of credit risk pricing. As a result, the systematic risk exposure of corporate …

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative … data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional …

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and … risk, especially in the early years, offering meaningful diverisification benefits to traditional stock/bond portfolios …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of "total risk" in the denominator … of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds … that is missing from the standard Sharpe Ratio formulation. We refer to our liquidity-risk-adjusted performance ratio as …

load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …

universe indicates that volatility is not compensated with a “volatility” premium. We find evidence of a risk premium, but it … depends on the definition or measure of risk. “Tail risk” measures the probability of having significant losses and should be … what investors care about the most. We investigated several risk measures, including volatility and tail risk, and found …

and expected returns, we show how changes to target firms’ productivity are associated with a decline in systemic risk …

1987 to 2022 to provide three stylized facts about their subjective risk and return expectations on 19 asset classes. First …, the subjective distribution of asset class returns is well described by a 1-factor structure, with this single risk factor … in subjective expected returns is due to variability in subjective risk premia (compensation for beta) as opposed to …