risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

This paper examines the effect of labor unemployment risk on firm risk. Using unemployment insurance benefits as a … proxy for unemployment risk, we find an economically significant positive relation between unemployment risk and firm risk …

declines, because peers care less about future cooperation. We decompose industries' exposure to consumption risk into two …

stocks to these risk factors and their explained variation is time-varying. The four continuous factors carry an intraday … risk premium that reverses overnight …

tax-audit risk, financial-reporting benefits, and non-tax costs (which affect pre-tax income). The comparative statics … different subsamples, I find larger firms engage in more tax avoidance primarily because they can better identify lower-risk … opportunities. I find multinationals have lower-risk opportunities to avoid taxes but incur more non-tax costs relative to domestic …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic … using several optimization methods to address parameter estimation risk for predictive models is substantial. This is the …