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 …

. From both theoretical model and empirical analysis, we find that in analyzing the systemic risk posed by one financial …

The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional … extreme value model, are used to calculate commodity market risk at extreme quantiles: 0.95, 0.99, 0.995 and 0.999 for both …

unemployment risk. We exploit changes in state unemployment insurance laws as a source of variation in the costs borne by workers …-intensive and financially constrained firms. We estimate the ex ante, indirect costs of financial distress due to unemployment risk …

This paper examines the effect of labor unemployment risk on firm risk. Using unemployment insurance benefits as a … proxy for unemployment risk, we find an economically significant positive relation between unemployment risk and firm risk …

unemployment risk. We use unemployment insurance (UI) benefit laws as a proxy for unemployment risk and multiple measures of tax … benefits lower labor unemployment risk and, hence provide firms with an opportunity to exhibit more tax aggressiveness …. Consistent with this hypothesis, we find a negative relation between firms' tax aggressiveness and unemployment risk. In …

the depletion of assets. We also consider the interaction between past weather-risk exposure and the actual realization of … weather shocks to ascertain the extent to which the investment strategies of risk-exposed households "pay off" by buffering … between households' perceived exposure to uninsured risk, measured as past exposure to deviations in average rainfall levels …