We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and … insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

insurance mechanisms, bride wealth qualifies as an importantsecurity enhancing institution: the arrangement covers nearly the …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … more than 15% of the returns is explained by common risk factors. …

deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity … excessive. Capital requirements are no panacea: They can spur risk taking and make bubbles bubblier. Ring fencing of trading …

replicating portfolio is extremely effective asa hedge against the interest rate risk involved in the GAO, that thestatic …

worker buys an insurance, which gives a constant income and retirement benefits in exchange for the total output. The level …