We investigate the performance and risk of currency hedge funds using a large and unique consolidated currency hedge fund dataset. We find that a substantial number of hedge funds generate returns that exceed foreign exchange risk premia obtained through carry trades. The best alpha-generating...

We investigate the comovement between sovereign and bank credit riskin the Euro area over the period 2008-2010. We construct two synthetic credit risk measures of the European sovereign and banking sectors thatcan be used for macro-prudential supervision. We estimate a Vector error-correction...

We investigate the performance and risk of currency hedge funds using a large and unique consolidated currency hedge fund dataset. We find that a substantial number of hedge funds generate returns that exceed foreign exchange risk premia obtained through carry trades. The best alpha-generating...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>We perform a cross-country comparison of stock market risk. Stock market risk is defined as the standard deviation of cumulative stock market returns. We model stock market returns in a VAR(1) system jointly with bond returns and a set of predictive variables....</p>