Over the last decade, the availability of credit default swaps (CDS) has dramatically transformed the markets for credit insurance by providing participants efficient avenues through which to share credit risks. These risk-sharing benefits notwithstanding, the growth of credit default swaps...

Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to the loan returns, and thus, the risk of the portfolio. At...

Atmospheric CO2 been growing at an increasing rate for many years and this suggests that investments may face an increasing rate of future disaster risk. We provide a simple variation of the Gordon Growth model that accounts for potential increasing disaster risks and provides a closedform bound...