and the Swiss franc, and are hence less susceptible to crash risk. In line with that, standard pricing factors of …

sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on … sovereign to corporate risk transfer …

trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across … decrease in inter-national risk aversion, which in turn leads to a compression in currency risk premia and higher carry trade … returns. By contrast, Fed monetary policy is not able to affect international risk aversion and carry trade returns during the …

in our sample is affected by global risk aversion, regional contagion, the level of international reserves, foreign …