Recent episodes (October 2008, May 2010, August 2011) have witnessed huge spikes in equity price risk (implied … volatility). Apart from their large size, several features characterize these risk panics. They are global phenomena, shared … usually not a large shock to fundamentals that sets off these panics. We provide an explanation for these risk panic features …

incentives of banks to lend and borrow at quarter ends under Basel III. We investigate whether or not funding risk possibly also … reflect a higher funding risk premium at quarter ends, during the global financial crisis and in recent years. The phenomenon … remains quarter-end-based, there could still be quarter-end spikes in funding risk premium in times of financial adversity …

This paper investigates the degree of risk sharing across households in China with heterogeneous risk and time … the true risk sharing degree if, in reality, preferences correlate with variations of household income. We use household … incomes of less risk-averse and less patient households correlate more positively with the aggregate risk. The standard test …