Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

these, together with new information, to develop estimates of stocks of government obligations in default, including bonds …

Understanding the nature of credit risk has important implications for financial stability. Since authorities … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

<em>T</em>. Such contracts incorporate financial risk, which stems from the uncertainty about future prices of the … underlying financial assets, and insurance risk, which arises from the policyholder's mortality. The authors show how efficient … hedging can be used to minimize expected losses from imperfect hedging under a particular risk preference of the hedger. They …