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 … to compute the VaR of a position decomposed on risk factors. …

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

idiosyncratic risks present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic …-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 …

risk involved in interbank settlement systems. To cope with the risk the systems in most economies have been designed so …

We investigate the question of whether sophistication in risk management fosters banking stability. We compare a simple … default risk of entrepreneurs individually. Both banking systems compete for deposits, loans, and bank equity. While a … sophisticated system rewards entrepreneurs with low default risks by low loan interest rates, a simple system acquires more bank …