times, assets' liquidity premia increase, investors become more risk averse, assets become more negatively correlated with … CAPM can understate the risk of illiquid assets because these assets become riskier when investors are the most risk averse. …

risk information in the global economy. The paper examines the current state of the financial risk framework, notes its … place. The proposed open-source financial risk model separates the dual function that internal risk models perform within … financial institutions, first to attempt to optimize the risk-return profile of mostly private economic rent-seeking entities …

risk. To do so, the article unravels the much-misunderstood experiences of eight Norwegian municipalities whose investments … analytical concepts—“the fetishization of the knowledge of risk” and “fictitious distance”—to help explain how the crisis spread …

riskiness of its assets. This moral hazard problem leads to an excessive level of risk. Short-term debt may have a disciplining … effect on the bank’s risk-shifting incentives, but it may lead to inefficient liquidation. We characterize the conditions … salutary effect of mitigating the moral hazard problem and inducing lower risk-taking. The results are consistent with key …

The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk … measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to … model risk due, e.g., to specification and estimation uncertainty. While the authorities would like financial institutions …