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 …

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that … carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies … to carbon risk when market-wide concern about climate change risk is elevated. Finally, lenders expect that adjustments …

. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …

This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK … wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm …-specific factors both play important roles. Other key findings are the following: credit risk varies across firms depending on their …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …

change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand and incorporate the process of expectations formation around …

We provide benchmarks to evaluate what is an optimal foreign debt and a maximal foreign debt (debt-max), when risk is … capital. We consider two sets of high- risk countries during the period 1978-99: a subset of 21 countries that defaulted on … default risk, and add another dimension to the literature of early warning signals of default/credit risk. …

of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research … termination via prepayment or default affects optimal risk-sharing. The broad conclusion of the analysis is that potential … mortgage termination makes higher risk exposure for borrowers optimal. …