We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and … financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is …

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We …

uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model … uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable … regime-switching models; more complex structural uncertainty about very different models, for instance, backward- and forward …

those outcomes. This subjective uncertainty measure correlates positively with financial risk measures. Drawing on the … business' expectations for future outcomes, while the second moment provides a measure of business' subjective uncertainty over …. When respondents express greater subjective uncertainty about future outcomes at their plants, their forecasts are less …

the dispersion of individual forecasts around these averages are interpreted as indicating "uncertainty." However …, while uncertainty is properly understood as referring to the diffuseness of the distributions of probabilities that … distributions for the same targets. Thus the former tend to understate uncertainty as measured by the latter. This is so …

Over the last twenty years, the consensus view of systemic risk in the financial system that emerged in response to the … facing financial institutions. The dramatic rise of modern risk management has changed how the risks of financial … institutions are measured and how these institutions are managed. However, modern risk management is not without weaknesses that …

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial … collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk … trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …