As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008 global financial crisis. We discuss how the loss of...

Long-term treasury yields are known to be (i) excessively volatile (Giglio and Kelly, 2018), (ii) highly sensitive to short-rate movements (Hanson et al., 2018), and (iii) highly predictable from non-priced factors (Duffee, 2013). I assess the possibility that these puzzles may be due to...