concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … methodologies, which are solely based on estimates of real-world payoff prospects and thus do not capture risk premia. We also show …

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. …

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 …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … more than 15% of the returns is explained by common risk factors. …

bid-ask spreads. We also analyze the influence of variables capturing systematic risk of reference entities, market …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … between the institutions, overcoming a modeling weakness in earlier studies. A latent risk factor with heterogeneous exposures …