implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary … policy we identify three co-movement regimes. We document that risk-based portfolio strategies poorly perform in the low … high stock market risk and a very accommodating Fed policy. Less effectiveness is demonstrated under the positive …

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …

This paper examines the evolution of credit risk arising from monetary policy operations and ELA on the Eurosystem … balance sheet over the last decade. We employ a dynamic, market-driven risk model relying on the expected default frequencies … multivariate Student t distribution with time-varying parameters. We find that at the end of 2020, risk is slightly above its …

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities …. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount … literature. Weprovide evidence that non-linearities arise from hedging strategies of investors exposed tointerest rate risk …