We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

We present a new framework for the joint estimation of the default-free government term structure and corporate credit …

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS … of rolling pairwise correlations do not always yield intuitive systemic risk indicators. …

fundamental risk. This effect is separate from the liquidation externality caused by fire sales of seized collateral upon default … risk to unsecured creditors. We show that this triggers more frequent runs by unsecured creditors, even in the absence of … always increases it. Regulators need to contain its reinforcing effect on liquidity risk, trading off its role in expanding …

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk …: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

transparent by nature. However, parameter estimation, signal extraction of the dynamic factors, and the econometric analysis … characterize as "local" and "international" banks. The credit-risk spillovers take place between banks, from the same and from …