We address the question whether the impact of default risk on equity returns dependson the financial system firms operate in. We compare results from asset pricing testsfor the German and the U.S. stock markets, where Germany is the prime-example fora bank-based financial system. We find that a...

In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality changes for its life book of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a pandemic is similar to the property risk associated with...