uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …

. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside …

The paper illustrates how one may assess our comprehensive uncertainty about the various relations in the entire chain ….5 deg;C. The 99 percent confidence interval ranges from 3.0 deg;C to 6.9 deg;C. Uncertainty about socio-economic drivers of … climate change lie behind a non-trivial part of this uncertainty about global warming …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on … institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR … leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a …

Default probability plays a central role in the static tradeoff theory of capital structure. We directly test this … theory by regressing the probability of default on proxies for costs and benefits of debt. Contrary to predictions of the … theory, firms with higher bankruptcy costs, i.e., smaller firms and firms with lower asset tangibility, choose capital …

continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with … standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to …

I examine the risk/return tradeoff for environmental investments, and its implications for policy choice. Consider a … global warming versus uncertainty over those damages, i.e., on the expected benefits from the policy versus their riskiness … risk? Using a simple model of a stock externality (e.g., temperature) that evolves stochastically, I examine the …

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial … to the pre-crisis period. This shift may be the result of a perceived increase in counterparty risk among banks, as well …