Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions … and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for … risk on a corporate balance sheet has become an important topic. Along with this growing importance of credit risk, the …

in order to be able to purchase the house immediately. However, due to liquidity constraints, which prevent the poor …, interest rate and asset risk premium. The poor agent accumulates quickly wealth in the durable and postpones consumption. It is … shown that the poor and liquidity constrained agent does not hold financial assets until the durable is completely acquired …

probabilities. The results sugget that down side risk is significantly attributed to investor overreactoin, even though a small …

puzzle" -the fact that most households do not hold stocks, despite the diversification gains and the significant risk …-premium involved-, most motivations of these fixed costs are as incompatible with conventional portfolio theory as the non … alternatives to conventional portfolio theory. We find in Choquet expected utility theory a tool that is better equipped to deal …

low-risk-averse rational investors who learn the CAPM under incomplete, yet symmetric information. Periodic equilibrium … in efficient markets with rational investors. We introduce an Intertemporal-CAPM with market clearing between high- and … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning …

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery … liquidity is a forward-looking predictor of future liquidity risk and, as such, is priced. Liquidity discovery provides an …

market. A simple pricing kernel based on the aggregate value of MBS securities prices risk in the MBS market. The evidence …