Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. For instance, a target volatility call can be...

With globalization and financial integration, there has been rapid growth of international lending and foreign direct investment (FDI). In view of this emerging trend, country risk analysis has become extremely important for the international creditors and investors. This paper briefly discusses...

This paper explores the possibility of remedial intervention against the credit rating oligopoly under the competition rules. It is divided in six parts. Following an introduction, Part II provides an overview of the credit rating industry. Part III demonstrates that there is a possible economic...

What is the current state of sovereign credit risk across Euro zone? Does the recent fiscal crisis extend to other (non Euro zone) countries? Is Greece the center of the problem? How did the current fiscal crisis in the Euro area start? Who is behind it? Why can it evolve? How can it be...

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

With an ever-increasing amount of information related to the stock market or various investment avenues, misperception or no perception regarding mutual funds is becoming a norm for investors and marketers. To date no perception measuring scale has been developed for mutual fund investors, to...

Insurance companies can be exposed to climate-related physical risk through their operations and to transition risk through their $12 trillion of financial asset holdings. We assess the climate risk exposure of property and casualty (P&C) and life insurance companies in the U.S. We construct a...

Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based banks' runs) which provides a link between...

Can a wealth shift to emerging countries explain instability in developed countries? Investors exposed to political risk seek safety in countries with better property right protection. This induces private intermediaries to offer safety via inexpensive demandable debt, and increase lending into...