Described by Hull (2011, 2012) as ‘a procedure for calculating credit value at risk’, CreditMetrics methodology … (RiskMetrics Group 2007) is used for assessing portfolio risk due to changes in bond or debt value caused by credit quality changes … bond portfolio at the risk horizon caused by such credit events. Changes in debt value could be small in case of credit …

financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic … climate risk and the climate policy risk, which all of them may affect the markets directly or indirectly. The perspective is … market valuation of the climate risk. …

multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining … determination of the required risk capital. The approach provides guidelines for asset (and liability) allocation to minimize the … required risk capital …

This paper shows that exposure to aggregate distress risk is the underlying source of the premiums for the Fama … aggregate distress risk and earn a CAPM alpha of approximately -4% a year. Both HML and SMB predict changes in future failure …

portfolio returns on market returns to measure risk produces risk measures that are not credible. Institutional investors … alternative approach to measuring risk directly which explicitly addresses the staleness of reported values for venture capital … portfolio returns to market returns. Examples for venture capital and buyout portfolios show that the true risk measures are …

Does risk shifting incentives or risk management incentives dominate when firms rollover large amounts of maturing debt …? The empirical evidence supports the risk management hypothesis by identifying a hump-shaped relation between long …-term debt maturity and firm risk. Using difference-in-differences approach that relies on the ex-ante variation in long …

nature of climate risk (i.e. deep uncertainty, non-linearity and endogeneity), and of financial risks (interconnectedness and …, sovereign and corporate bonds), climate scenarios conditioned risk metrics (such as the Climate Spread and the Climate Value-at-Risk …). These allow us to introduce forward-looking climate risk scenarios in the valuation of counterparty risk, in the probability …

learning how to evaluate risk factors and disentangle the effects of stock selection and stock weighting …