Showing 1 - 10 of 1,502
Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …
Persistent link: https://www.econbiz.de/10014258639
Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …
Persistent link: https://www.econbiz.de/10013218406
today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk … to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets … facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk …
Persistent link: https://www.econbiz.de/10012759684
explaining heterogeneity in firm exposures to systematic risk. These differences in systematic risk are partially explained by …-career experiences of starting their first job in a recession also contribute to differential loadings on systematic risk. These effects …
Persistent link: https://www.econbiz.de/10013306635
This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal …;the user cost of fundsquot;) for the risk inherent in that corresponding financial transaction. Otherwise, nominal financial …
Persistent link: https://www.econbiz.de/10012764900
dynamics imply a breakdown in the distinction between market and idiosyncratic risk in the lognormal model. We present an … alternative model that matches the skewness in the data and implies stationary wealth shares. In this model, idiosyncratic risk is …
Persistent link: https://www.econbiz.de/10012910287
In this paper I offer an alternative identification assumption that allows one to test for changing patterns regarding the international propagation of shocks when endogenous variables, omitted variables, and heteroskedasticity are present in the data. Using this methodology, I demonstrate that...
Persistent link: https://www.econbiz.de/10013248543
houses -- we find that the failure to include housing prices resulted in the largest potential measurement error. This …
Persistent link: https://www.econbiz.de/10013233847
We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …
Persistent link: https://www.econbiz.de/10012774602
stocks, which we contend measures the economy's risk appetite. Our novel proxy for risk appetite explains 41% of the …, the real rate forecasts returns on volatile stocks, confirming our interpretation that changes in risk appetite drive the … real rate. Increases in our measure of risk appetite are followed by a boom in investment and output …
Persistent link: https://www.econbiz.de/10012920896