, institutional, political and social underpinnings to uncover the “missing” determinants of exchange rate volatility over time and … volatility, especially in emerging market economies. After controlling for standard macroeconomic factors, we find that the “soft … exchange rate volatility across countries …

liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … — measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively …I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several …

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper … perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial … risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for …

recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches … risk in the corporate sector and the estimation of prudential leverage ratios consistent with regulatory capital ratios in …

passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and …Measuring and managing exchange rate risk exposure is important for reducing a firm's vulnerabilities from major … traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR …

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield …-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

significant impact on market-implied sovereign default risk. This adverse effect appears to be more pronounced in advanced …