Understanding how defaults correlate across firms is a persistent concern in risk management. In this paper, we apply covariate-dependent copula models to assess the dynamic nature of credit risk dependence, which we define as "credit risk clustering". We also study the driving forces of the...

Stress testing models have been developed at various levels of data aggregation with or without risk attributes, but there is limited research on the joint impact of these modeling choices. In this paper, we investigate how data aggregation and risk attributes affect the development and...

We investigate for a positive relation between growth and the aggressiveness of accounting choices. Our motivation is that this relation is an unexamined and very general implication from most existing theories and types of aggressive accounting choice. Note that the firms' decision to use...

We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (short term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one...

This paper examines a new approach of measuring earnings quality based on firms' capital and labor investment decisions. More specifically, I measure earnings quality as the contemporaneous association between the changes in the level of capital and labor investment and the change in reported...