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Bayesian Non-Parametric Risk Metric
by Kiwan Hyun Abstract This thesis constructs completely non-parametric Risk Metric models through Dirichlet process in order to account for both the parametric uncertainty and model uncertainty that a Risk Metric may bring. Value at Risk (VaR), along with its integrated form Continuous Value at Risk (CVaR) / Expected Shortfall (ES), is one of the […]
Bang for Your (Green) Buck: The Effects of ESG Risk on US M&A Performance
by Richard Chen Abstract Mergers & Acquisitions (M&A) is a fundamental corporate activity that has not received much attention from an environmental, social, and governance (ESG) perspective. In this paper, I analyze how buyer and target ESG risks affect US M&A performance in both the short and long run as measured by deal valuations and […]
