spot to futures. Risk constancy or neutrality, equality of risk premium and spot price, and efficiency were rejected for … the period 18, 51, and 33 weeks or more to maturity. However, simultaneity of risk neutrality and efficiency was accepted …

, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between … risk and asset management. Risk parity then became a popular financial model of investment after the global financial … and the redefinition of long-term investment policies. Introduction to Risk Parity and Budgeting provides an up …

This paper develops a model of debt and default for small open economies that interact with risk averse international … investors. The model developed here extends the recent work on the analysis of endogenous default risk to the case in which … international investors are risk averse agents with decreasing absolute risk aversion (DARA). By incorporating risk averse investors …

Basel III classifies government debt as risk free while actual interest rates in the European Union (EU) show large … differences not only because of liquidity but mainly because of the risk of default, as also reflected in credit default swaps …. Curiously such debt defaults may not happen so that creditors do not need to cover losses. The risk premium then becomes a …

correlation of the growth rate of per capita real consumption and the expected returns and standard deviation of equity, risk …-free security, and risk premium for equity. Therefore, this model solves the equity premium and volatility puzzles. I also explore …

risk characteristics. Previous research has primarily considered dynamic hedging; however, static hedging is the common … significantly reduces the risk in terms of value-at-risk, conditional value-at-risk and standard deviation of the revenue …

Episodes of monetary contraction increases the risk premium of the enterprises which results in higher effective … information on risk premium and effective interest rate differential of 174 exporting corporate firms over thirteen years (1999 …

difference between lending and deposit rate in Costa Rica is greater than in countries with similar levels of risk. …