In this paper we consider the operations of a non-financial corporation and present a novel risk-management framework that supports the joint optimization of the firm's operational and financial decisions. Specifically, we study the problem of maximizing the firm's operating profits when these...

Using information from equity and Treasury bond options, I propose a new Flight-to-Safety (FTS) regime-switching model with time-varying stock-bond correlation and regime-switching probabilities. I document that the inclusion of higher-order moments such as tail risks is crucial to capturing...

Risk plays a fundamental role in scientific discoveries, and thus it is critical that the level of risk can be systematically quantified. We propose a novel approach to measuring risk entailed in a particular mode of discovery process – knowledge recombination. The recombination of extant...

Over the last decade, institutional investors have posted some of the best long-term returns on record. Is it wise for investors to extrapolate these gains into the future, or is now a good time to consider downside protection? In this paper we analyze the current market risks and how tail risk...