risk. Calibrations show that the impact of model uncertainty could be enormous, lowering the equilibrium risk-free rate and … increasing the equity risk premium. This finding contributes to a potential explanation for the equity risk premium and risk … is necessary to explain the equity risk premium puzzle. In this paper, the equilibrium wealth and expected utility under …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

extraction and explanation of the source of term risk. These findings provide: (i) a detailed analysis of the incomplete market … paradigm that encapsulates inter-bank term rates and the risk management processes involved therein; and (ii) theoretical and …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …