We study the design of optimal insurance contracts when the insurer can default on its obligations. In our model … default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer's assets …. This allows us to understand the joint effect of insolvency risk and background risk on optimal contracts. The results may …

between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of … key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of … systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding …

, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns …This paper examines banks' disclosures and loss recognition in the financial crisis and identifies several core issues … about banks' exposures had arisen in markets. Similarly, the recognition of loan losses was relatively slow and delayed …

We investigate the impact of counterparty risk on contract design in the reinsurance market. We study a multiplicative … default risk model, with partial recovery and where the probability of the reinsurer's default depends on the loss incurred by … the insurer. The seller is assumed to be risk-neutral while the buyer is risk-averse and uses either expected utility or …

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized … surge in small banks holding CMBS—and the composition of their CMBS portfolio affects their trading behavior in other assets …. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized … surge in small banks holding CMBS-and the composition of their CMBS portfolio affects their trading behavior in other assets …. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …

lead to significant changes in the competitive environment should banks consider adding a granularity adjustment to the …

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 …

We show that lenders charge higher interest rates for mortgages on properties exposed to a greater risk of sea level … in areas with more climate change deniers. Overall, our results suggest that mortgage lenders view the risk of SLR as a … long-term risk, and that attention and beliefs are potential channels through which SLR risk is priced in residential …

that by ignoring regional variations in No Negative Equity Guarantee risk in national pricing models providers cannot …