The paper provides a simple theory and empirical evidence on the asymmetric effect of credit markets on output decline …

unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they … lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not …

We develop a dynamic model of investment, cash holdings, financing, and risk management policies in which firms face …-flow sensitivity of cash display a more realistic behavior than in prior models with financing frictions. In addition, risk management …

This article introduces a method to quantify the effect of a firm’s strategic choices on the risk profile of its … profits at different horizons. We combine a demand system for differentiated products with counterfactual paths of risk … factors. Prices, costs and quantities respond endogenously to the counterfactual state of the world. The draws on risk factors …

theaters and trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles …, and how much to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the …

This article presents an application of extreme value theory to compute the value at risk of a market position. In … maximum) over a given time-period. Extreme value theory gives some interesting results about the distribution of extreme … extreme value theory is used to compute the VaR of a fully-aggregated position while multivariate extreme value theory is used …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. Costs of …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that the ensuing convexities in … the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark …. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk …