the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …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 …

attempt to remove this inconsistency removes the model’s explanatory power. Using the theory of rational beliefs, the author …

expected utility theory, and proposes the concept of implied risk aversion as a summary measure of risk attitudes implied by …Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets …." This approach holds that changes in risk perception affect actions undertaken in risky situations, and create a discrepancy …

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 …

the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …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 …

<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 …

to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …