capital increase is needed. We introduce the scalarized utility-based multi-asset (SUBMA) risk measure which optimizes the … risk measure is coherent if the utility function has constant relative risk aversion and the capital adequacy test leads to … a coherent acceptance set. In a one-period financial market model we present a sufficient condition for the SUBMA risk …

The risk of a future payoff is commonly quantified by calculating the costs of a hedging portfolio such that the … resulting position is acceptable, i.e. that it passes a capital adequacy test. A multi-asset risk measure describes the minimal … alternative methodology of intrinsic risk measures was introduced in the literature. These ask for the minimal proportion of the …

We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein …-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they … "synchronized'' idiosyncratic risk. Third, combined with high market risk premium in the bad states, the clustered risk …

I develop a dynamic capital structure model to examine how the nature of risk affects firm's debt policy. In the model …, firm's fundamental risk, captured by its cash flow process, consists of transitory and persistent parts with markedly … different dynamics. The model explains the observed dispersion in the risk-leverage relationship. Firms with similar total …