We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the unemployment rate. We find that an investment strategy which...

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis (`SRisk'). We find that the risk impact of negative rates depends on banks' business models: Large banks with diversified income streams are perceived as...

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis ('SRisk'). We find that the risk impact of negative rates is moderate, and depends on banks' business models: Banks with diversified income streams are...

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...

We investigate whether unemployment fluctuations generate predictability in the cross-section of currency excess returns. We find that currencies with lower growth in the unemployment rate appreciate while currencies with higher growth in the unemployment rate depreciate. As a result, an...

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis ('SRisk'). We find that the risk impact of negative rates is moderate, and depends on banks' business models: Banks with diversified income streams are...

Risk-managed momentum allows investors to increase the Sharpe ratio of the momentum strategy and to reduce momentum crashes. Yet, the improvement in the performance comes at the price of often assuming a levered position on plain momentum. I show that leverage-constrained investors benefit from...

We study a large currency cross section using recently developed asset pricing methods. First, we show that the implied pricing kernel includes three latent factors: a strong U.S. `Dollar' level factor, and two weak, high Sharpe ratio `Carry' and `Momentum' slope factors. The evidence for an...