This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies.

The paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. It shows that momentum profits are not normally distributed and, relatedly, that the momentum profitability is partly a compensation for systematic negative skewness risk in line with market efficiency.

This paper presents a review of the recent literature in banking around the core themes of performance, risk and governance of financial institutions. We write this review against the backdrop of the recent financial crisis and the major changes it caused to banking sectors in many countries. There are several themes emerging from this review, but the overarching issue relates to the need to better understand bank risk taking incentives and the implications for systemic stability. There is a need for more work on the role of safety net subsidies and how these are linked to systemic risk; financial innovation and the adoption of new products and processes and the linkage to risk-taking, market returns or contagion. There is also a need to better understand the relationship between competition and risk, and understand the interconnections between capital, profitability, liquidity and risk.

Most defined-contribution (DC) pension plans give members a degree of choice as to the investment strategy for their contributions.