liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …

the near future. The research finds no evidence of large differences in the patterns of risk sharing for the 19 OECD …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …

We investigate financial experts’ beliefs about climate risk pricing and analyze how those beliefs influence stock …

efficient ones. We also study extensions with heterogenous “bad risks,” with diversity in the costs to good risk firms of …