market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

-measurement framework for the signal extraction and forecasting of macro, credit, and loss given default risk conditions for U.S. Moody …

important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel … combination of the Merton structural model which measures distance to default and the timeless capital asset pricing model (CAPM …) which measures additional returns to compensate for additional share price risk. …

decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic … systematic risk factor; (ii) strongly non-Gaussian features of the individual time series; (iii) possible dynamics of an … unobserved common risk factor; (iv) changing default probabilities over the age of the rating, and (v) missing observations. We …

sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We …