This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at …In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is …, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk …