This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and …-identification of contagion between financials' true credit risk and sovereign credit risk is avoided 1) by controlling for common … factors; 2) by relying on fair value CDS spreads as the credit risk measure for financials. The results show that in …

The financial crisis has highlighted the need for models that can identify counter-party risk exposures and shock … extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in … constitute important channels through which local risk exposures and balance sheet dislocations can be transmitted, with the …

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …

(growth-at-risk) in the short-term (1-year ahead). However, only vulnerability indicators contain information about growth-at-risk … Systemic Risk Indicator (SRI) proposed by Lang et al. (2019) outperforms in terms of in-sample explanatory power and out …-of-sample predictive ability for medium-term growth-at-risk in euro area countries. Shocks to the SRI induce a rich ”term structure” for …

A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large … factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk premia before the …

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of … firms with high credit risk. The ratio also declines for longer holding periods. We also observe a positive correlation …

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock … extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in … constitute important channels through which local risk exposures and balance sheet dislocations can be transmitted, with the …