The World Economic Forum (WEF) recognises in their recent global risk reports the need to better understand the … the possibility of both single and multiple risk events occurring. This paper applies a cladistics analysis technique to …

capture the global correlation structure. We study implications on the credit risk transmission and contagion risk. We find … four main results: (i) credit risk transmission is through the cross-correlation at regional rather than sectoral level … news; (iii) autocorrelation reduces the contagion risk in Asia while has little impact on other regions; (iv) contagion …

heightened risk aversion, leading to shifts in investment portfolio allocations and cross-border capital flows; a nd t he r eal e …

as currencies and international bonds can proxy for global state variables. We find that, differently from market risk …, intertemporal risk matters particularly at times when global markets are not in normal economic conditions. Relying on time …-variation for prices of risk helps us capture the hedging component, especially the negative one, stemming from proxies like the yen …

The U.S. could be the source of the global financial risk because it longs risky assets and shorts safe assets in the … international capital market. This paper builds a stylized two-country model to highlight that when the developed country's risk …-bearing capacity improves, it holds more foreign risky assets and issue more risk-free debt. The foreign country's risk …

innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We … introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a …