We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...

The current study investigates the time-varying interest rate exposure of financial intermediaries (bank/insurance) across four major markets (i.e. U.S., UK, Japan and Europe) from October 2002 to December 2012. We use the two-factor term structure model to measure the changes in the level and...

This paper assesses the role of correlation dynamics in mean-variance sector allocation. A correlation timing framework is deployed to evaluate dynamic strategies against a static constant covariance strategy and the nonparametric RiskMetrics covariance model. We find using sector portfolios in...