volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

-based measures of credit risk, liquidity risk and interest rate risk. In this context, I analyse how the set of explanatory factors … repriced CDX contracts to a larger extent than iTraxx contracts. Credit risk and liquidity factors are priced in almost all … tranches with liquidity risk playing a larger role since the start of the turmoil. …

too general. As a result, the high-risk nature of these portfolios is clearly in danger of being managed in a … variability of Risk-Weighted Assets (RWA). This paper presents a proposal to construct Advanced IRB models for defaulted exposures …, in line with current regulations, that preserve the risk sensitivity of capital requirements. To do so, both parameters …

arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem … include the use of risk-weight floors and leverage ratios. I show that banks for which those are binding reduce their credit … supply, which drives interest rates up, invites other banks to adopt optimistic models and possibly increases aggregate risk …

’ liquidity needs re-lated to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …