The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...

Brunnermeier et al., (2017) propose a securitization solution for the bank-sovereign doom-loop. This shields senior tranche investors from actual defaults but whether it stabilizes flight-to-safety panics is unclear. We apply dynamic VaR and Marginal Expected Shortfall methods to assess whether...

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al. (2016) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses that may...

We construct an ex-ante measure of the price of risk based on changes in the option-implied concavity of preferences around scheduled macroeconomic announcements. We motivate this measure using an example of smooth ambiguity-averse preferences where the intuition is particularly clear. Our model...

Dealers are intermediaries between different market segments. A dealer typically maintains a network of customer relationships (B2C) and simultaneously participates in an inter-dealer market (B2B) which allows him to manage his inventory. We represent this market interface role in a new dynamic...