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Articles in "Risk"
Loss aversion with a state-dependent reference point
This study investigates loss aversion when the reference point is state-dependent. Using a state-dependent structure, prospects are more attractive if they depend positively on the reference point and are less attractive in case of negative dependence.
Updated: 27/10/2011
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Views: 3,047
Does risk seeking drive asset prices? A stochastic dominance analysis of aggregate investor preferences
We investigate whether risk seeking or non-concave utility functions can help to explainthe cross-sectional pattern of stock returns.
Updated: 13/10/2011
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Views: 3,286
A mixing model for operational risk
External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling.
Updated: 22/09/2011
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Views: 3,239
Combining underreported internal and external data for operational risk measurement
This paper proposes a model for operational losses that improves the internal loss distribution modelling by combining internal and external operational risk data. It also considers the possibility that internal and external data have been collected with a different truncation threshold.
Updated: 22/09/2011
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Views: 3,672
An empirical test on leverage and stock returns
This is an empirical study that investigates the effect of firm's leverage on stock returns. We start with the explicit valuation model of Modigliani and Miller (1958) and expand the model further to test the relation between stock returns and firms' leverage.
Updated: 22/09/2011
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Views: 4,555
Apples and pears: the comparison of risk capital and required return in financial institutions
Risk capital is the contribution of an exposure to the default risk of a financial institution.
Updated: 22/09/2011
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Views: 3,229
Estimation risk in financial risk management: a correction
Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing Value at Risk and Expected Shortfall through commonly used methods including the Cornish-Fisher/Gram-Charlier approximations approach.
Updated: 29/09/2011
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Views: 3,225
Momentum profits, non-normality risks and the business cycle
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.
Updated: 22/09/2011
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Views: 3,016
Modeling operational risk with Bayesian networks
Bayesian networks is an emerging tool for a wide range of risk management applications, one of which is the modeling of operational risk.
Updated: 22/09/2011
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Views: 3,356
Locking in the profits or putting it all on black? An investigation into the risk-taking behaviour of hedge fund managers
In this paper we investigate the influence of two factors on the risk taking behaviour of hedge fund managers. The first factor is the past performance of the fund relative to the performance of each fund's peer. The second is the option-like features of the typical hedge fund manager's compensation structure.
Updated: 30/09/2011
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Views: 3,289
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