large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

using time-varying risk premia. Although the quest for the fundamental macroeconomic explanations of these risk premia is …

We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … than those from carry trade and momentum strategies. Canonical risk factors cannot price the returns from this strategy …

by standard risk factors, and unlikely to be solely due to illiquidity. Our option-based approach also offers a novel …, model-free benchmark for credit risk analysis, which we use to run empirical experiments on credit spread biases, the impact … of asset uncertainty, and bank-related rollover risk. …

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …