This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

in the information set. This "residual risk" can be fully diversified at a zero risk premium. We show that potential … welfare gains from risksharing depend on a weighted average of the variance of residual risk at different horizons. Three …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk … exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently … that uses loss functions based on probability forecasts, is proposed. Simulation results indicate that this method is …