Search Results

DySES 2018: Systemic Risk,
Jørgen Vitting Andersen and Philippe de Peretti, from HAL (2018)
Keywords: Systemic Risk

DySES 2018: Systemic Risk,
Jørgen Vitting Andersen and Philippe de Peretti, from HAL (2018)
Keywords: Systemic Risk

Solvency risk premia and the carry trades,
Vitaly Orlov, in Journal of International Financial Markets, Institutions and Money (2019)
Keywords: Solvency risk; Carry trades; Risk premia;

Solvency Risk Premia and the Carry Trades,
Vitaly Orlov, from University of St. Gallen, School of Finance (2018)
Keywords: Solvency Risk, Carry Trades, Risk Premia

Risk Premia at the ZLB: A Macroeconomic Interpretation,
Francois Gourio and Phuong Ngo, from Federal Reserve Bank of Chicago (2020)
Keywords: zero lower bound; liquidity traps; stock market; inflation premia; term premia; risk premia

Economic determinants of risk premia in the term structure of interest rates,
Peter Hördahl, Oreste Tristani and David Vestin, in Research Bulletin (2005)
Keywords: risk premia, interest rates

Time-Varying Risk Premia in the Foreign Currency Futures Basis,
John Barkoulas and Christopher Baum, from Boston College Department of Economics (1996)
Keywords: risk premia, foreign exchange

What do negative inflation risk premia tell us?,
Kei Imakubo and Jouchi Nakajima, from Bank of Japan (2015)
Keywords: Inflation risk premia; Term premia; Term structure

Switching Risk Off: FX Correlations and Risk Premia,
Alessandro Beber and Michael Brandt, from C.E.P.R. Discussion Papers (2014)
Keywords: Fx correlation; Risk-off; Currency risk premia

Measuring systemic risk,
Viral Acharya, Lasse Pedersen, Thomas Philippon and Matthew Richardson, from Federal Reserve Bank of Cleveland (2010)
Keywords: Systemic risk; Risk

Speculation, Risk Premia and Expectations in the Yield Curve,
Francisco Barillas and Kristoffer Nimark, from Barcelona School of Economics (2013)
Keywords: speculation, risk premia, Yield Curve

Speculation, risk premia and expectations in the yield curve,
Francisco Barillas and Kristoffer Nimark, from Department of Economics and Business, Universitat Pompeu Fabra (2013)
Keywords: speculation, risk premia, yield curve

US Equity Announcement Risk Premia,
Lukas Petrasek and Jiri Kukacka, from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2024)
Keywords: Asset pricing, macroeconomic data announcements, risk premia

Monetary Policy, Redistribution, and Risk Premia,
Rohan Kekre and Moritz Lenel, from Becker Friedman Institute for Research In Economics (2020)
Keywords: monetary policy, risk premia, heterogeneous agents

International Bond Risk Premia,
Magnus Dahlquist and Henrik Hasseltoft, from Swiss Finance Institute (2011)
Keywords: Affine model, local and global factors, time-varying risk premia

Time-varying risk premia,
Robert M. Anderson, in Journal of Mathematical Economics (2011)
Keywords: Time-varying risk premia; Stock return autocorrelation; Efficient markets hypothesis;

Macroeconomic shocks and risk premia,
Gabor Pinter, from London School of Economics and Political Science, LSE Library (2018)
Keywords: SDF; VAR; shocks; cross-section of returns; time-varying risk premia

International Bond Risk Premia,
Magnus Dahlquist and Henrik Hasseltoft, in Journal of International Economics (2013)
Keywords: Affine model; Local and global factors; Time-varying risk premia;

Dynamics of subjective risk premia,
Stefan Nagel and Zhengyang Xu, in Journal of Financial Economics (2023)
Keywords: Return expectations; Subjective risk premia; Return predictability; Survey data;

Macroeconomic Shocks and Risk Premia,
Gabor Pinter, from Centre for Macroeconomics (CFM) (2018)
Keywords: SDF, VAR, Shocks, Cross-section of returns, Time-varying risk premia

Risk Premia in the 8:30 Economy,
Jon Faust and Jonathan Wright, in Quarterly Journal of Finance (QJF) (2018)
Keywords: Macroeconomic announcements, risk premia, fixed income, return predictability

A Survey of Systemic Risk Indicators,
Antonio Di Cesare and Anna Rogantini Picco, from Bank of Italy, Economic Research and International Relations Area (2018)
Keywords: systemic risk, financial stability, systemic risk indicators

Dynamic Asset Allocation with Default and Systemic Risks,
Alessandro Sbuelz, from Springer (2018)
Keywords: Strategic asset allocation, Investment-horizon effects, Investment opportunity set, Default risk, Systemic risk, Arbitrage-free markets, Risk premia, Jump-diffusive processes

Identifying Risk Factors and Their Premia: A Study on Electricity Prices*,
Wei Wei and Asger Lunde, in Journal of Financial Econometrics (2023)
Keywords: risk factors, risk premia, futures, electricity markets

Inflation risk premia and risk-adjusted expectations of inflation,
Marco Casiraghi and Marcello Miccoli, in Economics Letters (2019)
Keywords: Inflation swaps; Inflation expectations; Inflation risk premia;

Testing for systemic risk using stock returns,
Paul Kupiec, from American Enterprise Institute (2015)
Keywords: systemic risk

Preferences, Consumption Smoothing, and Risk Premia,
Martin Lettau and Harald Uhlig, from C.E.P.R. Discussion Papers (1997)
Keywords: Asset Prices; Consumption; Preferences; Risk Aversion; Risk Premia

Liquidity and systemic risk,
Eric Rosengren, from Federal Reserve Bank of Boston (2008)
Keywords: Bank liquidity; Systemic risk

Risk premia in the German electricity futures market,
Matthäus Pietz, from Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS) (2009)
Keywords: Electricity, Electricity Market, Forward Market, Futures Market, Risk Premia, Risk Premium, Realised Risk Premia, Ex post Risk Premia

Risk-Sharing and the Creation of Systemic Risk,
Viral Acharya, Aaditya M. Iyer and Rangarajan K. Sundaram, in JRFM (2020)
Keywords: banking; clearinghouses; systemic risk

SYSTEMIC RISK: AN OVERVIEW,
Cristina Zeldea, in Studii Financiare (Financial Studies) (2019)
Keywords: systemic risk measurement, systemic crises, prudential measures

Have risk premia vanished?,
Simon C. Smith and Allan Timmermann, in Journal of Financial Economics (2022)
Keywords: Cross-sectional variation in risk premia; Instability risk factor; Industry and style portfolios; Bayesian analysis;

Inflation risks and inflation risk premia,
Garcí­a, Juan Angel and Thomas Werner, from European Central Bank (2010)
Keywords: affine term structure models, inflation compensation, inflation risk, inflation risk premia, inflation risks, state-space modelling

Exchange rate expectations and risk premia in the European Monetary System: 1985–1991,
Stefano Cavaglia, Kees Koedijk and Peter Vlaar, in Open Economies Review (1994)
Keywords: EMS expectations, credibility, risk premia,

Exchange Rates, Risk Premia and New Information: A Note,
Charles Bean, from C.E.P.R. Discussion Papers (1985)
Keywords: Efficient Markets; Exchange Rates; Risk Premia

Monetary Policy and Bond Risk Premia in the US and the UK,
Wojciech Zurowski, from Swiss Finance Institute (2017)
Keywords: bond risk premia, monetary policy, Haar filter

Foreign currency debt, risk premia and macroeconomic volatility,
Anton Korinek, in European Economic Review (2011)
Keywords: Foreign currency debt Volatility Risk premia Amplification

Bond risk premia, macroeconomic fundamentals and the exchange rate,
Marco Taboga and Marcello Pericoli, from University Library of Munich, Germany (2008)
Keywords: Bond risk premia;exchange rate;no-arbitrage

Aggregate Stock Market Illiquidity and Bond Risk Premia,
Kees E. Bouwman, Elvira Sojli and Wing Wah Tham, from Tinbergen Institute (2012)
Keywords: Market liquidity; Bond risk premia; Flight-to-quality

Central bank tone and currency risk premia,
Asad Dossani, in Journal of International Money and Finance (2021)
Keywords: Monetary Policy; Risk Premia; Exchange Rates;

Risk premia estimation in Brazil: wait until 2041,
Bruno Giovannetti and Fernando Chague, from University of São Paulo (FEA-USP) (2016)
Keywords: Risk premia; Asset pricing; Multi-factor model

Bond risk premia and restrictions on risk prices,
Constantino Hevia and Martin Sola, from Universidad Torcuato Di Tella (2018)
Keywords: Bond risk premia, affine term structure models, risk prices

Bond Risk Premia and Restrictions on Risk Prices,
Constantino Hevia and Martin Sola, in JRFM (2018)
Keywords: bond risk premia; affine term structure models; risk prices

Liquidity and risk premia in electricity futures,
Fergus Bevin-McCrimmon, Ivan Diaz-Rainey, Matthew McCarten and Greg Sise, in Energy Economics (2018)
Keywords: Electricity markets; Electricity prices; Electricity futures; Liquidity; Risk premia;

Economic complexity and sovereign risk premia,
M. Utku Özmen, in Economics Bulletin (2019)
Keywords: economic complexity, ECI, risk premia, CDS spreads, emerging economies

International evidence on bond risk premia,
Rodrigo Sekkel, in Journal of Banking & Finance (2011)
Keywords: Bond risk premia International markets Predictability Financial crisis

Oil and risk premia in equity markets,
Satish Kumar, Riza Demirer and Aviral Tiwari, in Studies in Economics and Finance (2020)
Keywords: Predictability, Quantile, Cross-quantilogram, Risk premia, Oil return, C22, F31

Timing the Size Risk Premia,
Serge Darolles, Gaelle Le Fol and Gulten Mero, from HAL (2022)
Keywords: Size effect,factor investing,market timing,endogenous risk premia cycles,Markov-Regime-Switching factor models

Timing the Size Risk Premia,
Serge Darolles, Gaelle Le Fol and Gulten Mero, in Finance (2022)
Keywords: size effect, factor investing, market timing, endogenous risk premia cycles, Markov-Regime-Switching factor models

Variance Risk Premia,
Peter Carr and Liuren Wu, from University Library of Munich, Germany (2004)
Keywords: Stochastic volatility, variance risk premia, variance swap, volatility swap, option pricing, expectation hypothesis

An Axiomatic Approach to Systemic Risk,
Chen Chen, Garud Iyengar and Ciamac C. Moallemi, in Management Science (2013)
Keywords: systemic risk, risk measures, contagion, risk attribution

Expected Business Conditions and Bond Risk Premia,
Jonas Nygaard Eriksen, from Department of Economics and Business Economics, Aarhus University (2015)
Keywords: Bond risk premia, expected business conditions, predictability, economic value, expectations hypothesis, time-varying risk premia

Smart systemic-risk scores,
Sylvain Benoit, in Journal of International Money and Finance (2024)
Keywords: Systemic risk; Risk management; Macroprudential regulation; Global systemically important banks;

Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector,
Daniel Dimitrov and Sweder van Wijnbergen, from C.E.P.R. Discussion Papers (2023)
Keywords: Systemic risk

Risk premia and ambiguity in an experimental market featuring a long-lived asset,
John Griffin, in Journal of Behavioral and Experimental Finance (2017)
Keywords: Risk premia; Risk aversion; Ambiguity; Ambiguity aversion;

Systemic risk and the financial crisis: a primer,
James Bullard, Christopher Neely and David Wheelock, in Review (2009)
Keywords: Systemic risk; Financial crises

Systemic risk in derivative markets,
Delphine Lautier, from HAL (2011)
Keywords: Systemic risk,graph theory,regulation

Measuring and Allocating Systemic Risk,
Markus Brunnermeier and Patrick Cheridito, in Risks (2019)
Keywords: systemic risk measure; systemic risk allocation; feedback effects; shadow prices; systemic risk limits; systemic risk charges; cap and trade

A simple indicator of systemic risk,
Dilip K. Patro, Min Qi and Xian Sun, in Journal of Financial Stability (2013)
Keywords: Systemic risk; Correlation; Stock returns;

Systemic risk and insurance,
Pierre-Emmanuel Darpeix, from HAL (2015)
Keywords: Insurance,Systemic risk,International regulation

Systemic Risk Score: A Suggestion,
Christophe Hurlin and Christophe Perignon, from HAL (2013)
Keywords: Systemic risk,score,G-SIFIs

Systemic risk and insurance,
Pierre-Emmanuel Darpeix, from HAL (2015)
Keywords: Insurance,Systemic risk,International regulation

Bank diversification and systemic risk,
Hsin-Feng Yang, Chih-Liang Liu and Ray Yeutien Chou, in The Quarterly Review of Economics and Finance (2020)
Keywords: Financial Institutions; Diversification; Systemic risk;

Blockchain Technology and Systemic Risk,
Aymen Mselmi, in International Journal of Economics and Financial Issues (2020)
Keywords: Blockchain; Systemic Risk, Financial institutions

The financial stress index: identification of systemic risk conditions,
Timothy Bianco, Ryan Eiben, Dieter Gramlich, Mikhail Oet and Stephen J. Ong, from Federal Reserve Bank of Cleveland (2011)
Keywords: Systemic risk; Risk assessment

Do Risk Premia Protect from Banking Crises?,
Hans Gersbach and Jan Wenzelburger, from C.E.P.R. Discussion Papers (2005)
Keywords: Financial intermediation; Macroeconomic risks; Banking crises; Risk premia; Banking regulation

Identifying Risk Factors and Their Premia: A Study on Electricity Prices,
Wei Wei and Asger Lunde, from Monash University, Department of Econometrics and Business Statistics (2020)
Keywords: risk factors, risk premia, futures, particle filter, MCMC

The determinants of systemic risk contagion,
Burak Sencer Atasoy, İbrahim Özkan and Lütfi Erden, in Economic Modelling (2024)
Keywords: Contagion; Systemic risk; Banking; Spillovers; Tail risk;

Systemic risk contributions,
Xin Huang, Hao Zhou and Haibin Zhu, from Board of Governors of the Federal Reserve System (U.S.) (2011)
Keywords: Systemic risk; Banks and banking; Financial risk management

Measuring Systemic Risk,
Matthew P Richardson, Thomas Philippon, Viral Acharya and Lasse Pedersen, from C.E.P.R. Discussion Papers (2012)
Keywords: Systemic risk; Bailout; Financial regulation; Value at risk

Factors Driving Risk Premia,
Torsten Slok and Mike Kennedy, from OECD Publishing (2004)
Keywords: analyse en composantes principales, analyse factorielle, factor analysis, fondamentaux, fundamentals, liquidity, liquidité, primes de risque, principal components, risk premia

Risk premia in energy markets,
Almut Veraart and Luitgard Veraart, from Department of Economics and Business Economics, Aarhus University (2013)
Keywords: Lévy semistationary process, energy market, spot price, forward price, futures, risk premia, stochastic volatility, European Energy Exchange market.

Regulating Systemic Risk,
Masahiro Kawai and Michael Pomerleano, from Asian Development Bank Institute (2010)
Keywords: global financial crisis; systemic risk; macroprudential supervision; systemic stability regulation; regulating systemic risk

Risk premia in electricity derivatives markets,
Bernardina Algieri, Arturo Leccadito and Diana Tunaru, in Energy Economics (2021)
Keywords: Electricity derivatives; Heston model; Risk premia; Probability forecasting; Risk-neutral density;

Short run bond risk premia,
Philippe Mueller, Andrea Vedolin and Hao Zhou, from London School of Economics and Political Science, LSE Library (2011)
Keywords: variance risk premium; bond risk premia; expectations hypothesis; inflation dynamics; economic uncertainty

The risk premia embedded in index options,
Torben Andersen, Nicola Fusari and Viktor Todorov, in Journal of Financial Economics (2015)
Keywords: Option pricing; Risk premia; Jumps; Stochastic volatility; Return predictability; Risk aversion; Extreme events;

The Risk Premia Embedded in Index Options,
Torben Andersen, Nicola Fusari and Viktor Todorov, from Department of Economics and Business Economics, Aarhus University (2014)
Keywords: Option Pricing, Risk Premia, Jumps, Stochastic Volatility, Return Predictability, Risk Aversion, Extreme Events

The Risk Premia Embedded in Index Options,
Torben Andersen, Nicola Fusari and Viktor Todorov, from Department of Economics and Business Economics, Aarhus University (2018)
Keywords: Option Pricing, Risk Premia, Jumps, Stochastic Volatility, Return Predictability, Risk Aversion, Extreme Events

Short-Run Bond Risk Premia,
Philippe Mueller, Andrea Vedolin and Hao Zhou, in Quarterly Journal of Finance (QJF) (2019)
Keywords: Variance risk premium, bond risk premia, expectations hypothesis, inflation dynamics, economic uncertainty

Insurance activities and systemic risk,
Elia Berdin and Matteo Sottocornolay, from Goethe University Frankfurt, International Center for Insurance Regulation (ICIR) (2015)
Keywords: Systemic Risk, Insurance Activities, Systemically Important Financial Institutions

Insurance activities and systemic risk,
Elia Berdin and Matteo Sottocornola, from Leibniz Institute for Financial Research SAFE (2015)
Keywords: systemic risk, insurance activities, systemically important financial institutions

Contextualizing Systemic Risk,
Lukas Scheffknecht, from ROME Network (2013)
Keywords: Systemic Risk, Systemic Externalities, Macroprudential Regulation, Basel III

Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment,
Martin Lettau and Sydney Ludvigson, from C.E.P.R. Discussion Papers (2001)
Keywords: Q-theory; investment; Risk premia

Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach,
Lorenzo Cappiello and Nikolaos Panigirtzoglou, from Queen Mary University of London, School of Economics and Finance (2005)
Keywords: Foreign exchange, Risk premia, Pricing kernel

A Latent Factor Model of European Exchange Rate Risk Premia,
Annika Alexius and Peter Sellin, from Stockholm School of Economics (1997)
Keywords: Exchange rate risk premia; latent factor models

Measuring default risk premia from default swap rates and EDFs,
Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson and David Schranz, from Bank for International Settlements (2005)
Keywords: default risk premia, default swap rates, EDFs

Interconnectedness and systemic risk: A comparative study based on systemically important regions,
Lei Fang, Jiang Cheng and Fang Su, in Pacific-Basin Finance Journal (2019)
Keywords: Interconnectedness; Systemically important regions; Systemic risk; Networks;

Bond Risk Premia and Business Cycle (in Korean),
Joonhyuk Song and Youngsoo Choi, in Economic Analysis (Quarterly) (2008)
Keywords: Expectations hypothesis, Risk premia, Return forecasting factor, Volatility

Inflation Risk Premia, Yield Volatility, and Macro Factors,
Andrea Berardi and Alberto Plazzi, in Journal of Financial Econometrics (2019)
Keywords: inflation risk premia, macro factors, term structure, TIPS, yield volatility

Inflation Risk Premia, Yield Volatility and Macro Factors,
Andrea Berardi and Alberto Plazzi, from Swiss Finance Institute (2018)
Keywords: Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors