There will always be some who have prospered in such an environment but only by assuming a lot of idiosyncratic risk
- basically making a large bet on one very specific market outcome.
Emphasize the role of three features:(i) asymmetric information in interbank markets;(ii) maturity mismatch in the banks balance sheets;(iii) the paradox of securitization, thereby a deeper diversification of idiosyncratic risk
leads to a simultaneous increase in the sensitivity of banks balance sheets to aggregate risk.
Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk
premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks.
With heterogeneous trading technologies, households' total incomes differ not only because of their idiosyncratic risk
in labor income but also because of the variations in their investment returns resulting from the heterogeneity in trading technologies.
Baum, Stephan, and Talavera (2009) estimate idiosyncratic risk
by calculating the standard deviation of the closing price of the firm's shares.
An approach to the management of uncertain future longevity, presented in Piggott, Valdez, and Detzel (2005), is referred to as group self-annuitization (GSA), which is designed to pool idiosyncratic risk
with individuals bearing systematic risk.
Table 3 reports that firm with high systematic risk and idiosyncratic risk
have lower Qs.
In this research, taking Taiwan stock market as an example and collecting data from 2000 to 2010 which contained the 2001 dot-com bubble and the 2007-2009 financial crisis, we adopted the CoVaR model to empirically explore the impact of sector-specific idiosyncratic risk
on the systemic risk of the whole financial system and attempt to investigate the links between financial crises, systemic risk, and the idiosyncratic risk
of a sector-specific anomaly.
Treasury's $37 Billion TARP Share Sale," asks if the government would have had less downside and idiosyncratic risk
by selling a significant fraction of its holdings of its underwritten offering early in the selling period.
But this is a challenging task, because inequality often arises from a mixture of heterogeneity and idiosyncratic risk
, making the two difficult to disentangle.
The first type, name concentration, relates to imperfect diversification of idiosyncratic risk
in the portfolio either because of its small size or because of large exposures to specific individual obligors.
CRISIL Global Research & Analytics (GR&A), the world's largest and top-ranked provider of high-end research and analytics services, believes the results of the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) 2014 underscore the importance of robust internal models and scenarios to account for idiosyncratic risk