making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the …

unspanned macro risk …