measure of risk aversion derived from the CAPM � a model that does not require those restrictive assumptions � we find … approximate the risk aversion parameter of a CAPM. This occurs if the ratio between the variance of the returns on assets and the …This paper analyzes the Risk Appetite Index (RAI), a measure of investors� risk aversion proposed by Kumar and …

In recent years, banks have become increasingly aware of the credit risk borne in lending in the interbank market and … loans carried a distinct risk compared with domestic loans. By contrast, a large Swiss bank, for example, did not need to …

year horizon. Long-term return expectations for ten-year government bonds will have to incorporate bond risk premia that …

compressing bond risk premia. Before 2000, the fall in rates is largely due to the in-creasing demand pressure exerted by UK …

We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First …, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign …-specific defaults (country risk). Then, we quantify individual banks' exposures to each type of sovereign risk, as well as bank …

We develop a multivariate credit risk model that accounts for joint defaults of banks and al-lows us to disentangle how … much of banks' credit risk is systemic. We find that the US and UK dif-fer not only in the evolution of systemic risk, but … in particular in their banks' systemic exposures. In both countries, however, systemic credit risk varies substantially …

the limited participation-based explanation of the C-CAPM poor empirical performance and the transaction costs …-participation in financial markets Assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a …

fraction of the risk premium for the whole period can be accounted for by the performance following of the hyperinflation … episodes of the wars. However, the risk-return trade-off, owing to much larger volatility, compared unfavourably with other … risk premium. For government securities, this was estimated at around 0.8 percentage points. The inflation risk premium was …