factor models and use it in risk assessments. We consider a class of approximate factor models in which the candidate … priced for expected returns of Fama and French 100 size and book-to-market ratio portfolios. We find that while the risk from … proposed method can be adopted on evaluating value at risk (VaR) and find it can delivery comparable results as the …

This paper explores how corporate financial portfolio influences distress risk. Inspired by Fukuda and Nakamura (2011 …), we define distress risk as a dummy variable determined by whether firms need external subsidies to repay the interest …, financial portfolio is associated with less distress risk. Second, the impact is more pronounced for firms with higher levels of …

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy … investments in leveraged portfolios also. The approach seems to modify the meaning of "nondiversifiable-risk" of the market risk …

quantitative foundations of financial and risk engineering and its many applications to asset pricing and risk management. Covering …

firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book … seminal work Risk and Financial Management. …Risk Finance and Asset Pricing: Value, Measurements, and Markets -- Contents -- Introduction -- WHO THIS BOOK IS FOR …