intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk …

regular core capital requirement that helps deter excessive risk-taking incentives. The second tier, a novel aspect of our … framework, is a special capital account that limits risk taking but preserves creditors' monitoring incentives …

. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using …

This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …

reinsurance for systemic or “tail” risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives … capital. We discuss the implications of selling off some of the utility's mortgage credit risk to the capital markets and how … the informational value of such transactions may vary with the level of risk transfer. Finally, we explore how …

This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We …. We conclude that risk-free discount rates in the United States are especially low due to its central position in the …

residual component generates a highly significant risk-adjusted return three times the size of the standard reversal strategy …