This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...

The long and continuing coal-dominated energy structure in China makes it important to investigate the impact of coal price shocks on China’s financial markets. This study identifies whether volatilities in coal market may propagate between sectoral equity markets through the heterogeneous...

Using a unique and comprehensive dataset of loan-level home equity lines of credit serviced by large US national banks, we confirm that default risk of home equity lines of credit increases at end of draw. More importantly, we quantify the increase in default risk with the size of positive...

Calculating risk measures can be extremely time consuming for large portfolios. Monte Carlo and historical value at risk and expected shortfall calculations can require repricing 1,000s of positions 1,000s of times. This makes risk calculations extremely challenging when the pricing functions...