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作者：Nagel, Stefan; Purnanandam, Amiyatosh
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Michigan System; University of Michigan
摘要：We adapt structural models of default risk to take into account the special nature of bank assets. The usual assumption of lognormally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims with concave payoffs. Because of the payoff nonlinearity, bank asset volatility rises following negative shocks to borrower asset values. As a result, standard structural models with constant asset volatility can severely understate banks' default risk in good times...
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作者：Bouvard, Matthieu; Lee, Samuel
作者单位：McGill University; Santa Clara University; Swedish House of Finance
摘要：We model risk management as information acquisition that delays trading decisions. In markets with preemptive competition, this can lead to a race to the bottom, where prioritizing trade execution over risk management is optimal for each firm, but collectively inefficient. As time competition intensifies, mean trading profit supplants risk concerns as the main driver of risk management quality, causing risk misallocation to rise with trading speed and volume. This pathology of risk management ...
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作者：Raponi, Valentina; Robotti, Cesare; Zaffaroni, Paolo
作者单位：Imperial College London; University of Warwick
摘要：We propose a methodology for estimating and testing beta-pricing models when a large number of assets is available for investment but the number of time-series observations is fixed. We first consider the case of correctly specified models with constant risk premia, and then extend our framework to deal with time-varying risk premia, potentially misspecified models, firm characteristics, and unbalanced panels. We show that our large cross-sectional framework poses a serious challenge to common...
