stocks to these risk factors and their explained variation is time-varying. The four continuous factors carry an intraday … risk premium that reverses overnight …

Traditional theory suggests that higher bank profitability (or franchise value) dissuades bank risk-taking. We … risk on a larger scale, inducing risk-taking. This effect is more pronounced when bank leverage constraints are looser, or … notable cross-sectional patterns of bank risk-taking in the run-up to the 2008 crisis …

We generalize the concept of "systematic risk" to a broad class of risk measures potentially accounting for high … distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is …. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem …

This article responds to calls in the literature for a major shift in approaches to explaining systemic risk. It … science are combined with an interpretation of entropy as risk uncertainty, to explain systemic risk in terms of catastrophic … financial system. Then the key features of a recent programme of theory development research based on this approach are …