and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …

volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …

primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …

international portfolio investments, such as relative market liquidity and relative risk characteristics of assets, are also …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk … not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive …-compatibility constraint on risk, which we characterize. We distinguish between one period and several periods. In the former case, under mild …