Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives … systematic deviations (high peak, fat tail) and double exponential (for credit risk). Market equilibrium is regarded as a dynamic … equilibrium characterized by a time-invariant probability distribution over microfinancial states, marginal redistributions of …

expectations for those with a negative outlook. Once recovery is underway, and economic uncertainty diminishes, it appears that IMF … programs have the biggest impact on expectations during periods of great uncertainty and less of an impact when countries are …

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield …-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

recognizes both the consumption and investment aspects of crude oil and proposes Levy processes for modeling uncertainty and …-skewed market expectations, implying a higher probability mass on crude oil prices remaining above the futures' level. These …

, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even … though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze … systemic risk under stress scenarios. …