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Term Premium Variability and Monetary Policy

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Liquidity risk in credit default swap markets

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The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross … section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity … intermediaries and, in broad terms, CDS market illiquidity. The analysis reveals priced liquidity risk in that credit protection …

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Is the risk of bankruptcy a systematic risk?

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Non-risk-based explanations of the equity premium

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Dependence between extreme risk factor movements of euro area sovereign bonds

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