shocks to the risk factors, the models and instruments, and the results. It presents the stress test methodology and also the …

the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper …, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton …, this risk is not priced. …

The large holdings of government securities by banks in India draw attention to their risk as interest rates are at … historical low levels. This paper measures such a risk using duration and value-at-risk methods and assesses its current … management by banks. The main finding is that some public sector and old private banks are vulnerable to a reversal of the …

gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …

This paper sheds light on the attractiveness of U.S. assets by studying dollar risk premiums, calculated using … dollar risk premiums (i.e. expectations of a dollar depreciation net of interest rate effects) amid record capital inflows … of U.S. financial markets to European investors suggests that they offer a large array of assets, with different risk …

Studies have shown that markets may underprice sub-national governments’ risk on the implicit assumption that these … a simultaneous increase in sovereign risk premia and decrease in sub-national risk premia–or a de facto transfer of risk … its autonomous regions from January 2010 to June 2013, we find support for our risk transfer hypothesis. We estimate that …