extensive history of large corporate firms sourced from Moody’s. We develop distance-to-default (DTD) risk factors and design …. We measure the model risk attributed to various modelingassumptions according to the principle of relative entropy and … observe that the omitted-variable bias with respect to the DTD risk factor, neglect of interaction effects and incorrect link …

We investigate the relation between various alternative risk measures and future daily returns using a sample of firms … seem to care more about downside risk than total risk. Motivated by these findings and mixed empirical evidence supporting … theoretical positive risk-return relationship, we model the relation between future returns and risk measures and investigate the …