Euro redenomination risk is the risk that a euro asset will be redenominated into a devalued legacy currency. We … propose a time-varying, country-specific market perception of intra-euro area redenomination risk measure, defined as the … and using Germany as benchmark, we show that the redenomination risk shocks, defined as the unexplained component of the …

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to … quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001 …, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of …

We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre …-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we … employ topical modelling based on an unsupervised machine learning algorithm to decompose financial risk into its thematic …

factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions … Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

de-anchoring risk during the last quarter of 2014; while showing a significant reduction after the peak, our de …

. Overall, our results signal a risk of downside de-anchoring of long-term inflation expectations. …

. Overall, our results signal a risk of downside de-anchoring of long-term inflation expectations …

de-anchoring risk during the last quarter of 2014; while showing a significant reduction after the peak, our de …