We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

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 …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …