This paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent

Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (non-time-dependent) case and emphasizes the copula representation of dependence for a random vector. Linear correlation is a natural dependence

maturity and increase yield spreads, but their importance is relatively small for the range of environments considered. Risk management

Empirical evidence shows that the practice of risk management is limited and does not correspond to the prescriptions of the academic literature. In particular, the practice focuses on hedging transactions exposures and a firm’s hedge ratios depend on the views of the managers of that firm

Like many fields in their early stages, the software field has had its share of project disasters: the software equivalents of Beauvais Cathedral, the S.S. Titanic, and the "Galloping Gertie " Tacoma Narrows Bridge. The frequency of these disaster projects is a serious concern: a recent survey of 600 firms

In this paper we study both market risks and non-market risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "

need for risk management to evolve to assure a culture of safety*

We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders ’ beliefs creates a risk in the price of the asset that deters rational

We identify the trust management problem as a distinct and important component of security in network services. Aspects of the trust management problem include formulating security policies and security credentials, determining whether particular sets of credentials satisfy the relevant policies

This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 % annually, adjusted for exposures to the market return as well as size, value, and momentum factors.