Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counter …-parties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow … counter-parties: i) Ultimate Risk Sellers (URS), ii) Dealers (indirectly connected to each other),iii) Ultimate Risk Buyers …

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over … estimating how risk sharing has evolved since the start of the EMU, and in particular during the recent crisis. Our results …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …

In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks … securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived … in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to …

We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

The goal of this paper is to analyze predictability of future asset returns in the context of model uncertainty. Using … averaging approach, and there is a large amount of model uncertainty. The empirical evidence for the euro area suggests that … risk premium. As for the US, only a few predictors play an important role. In the case of the UK, future stock returns are …