risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to … analysis include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both … the real and financial sectors and may lead to a total drying up of credit markets. (ii) Lower exante bailout uncertainty …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler (1989) maxmin with multiple priors framework to …, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … analysis include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both …

on corporate debt should be higher the later the uncertainty facing the firm is resolved. We conduct our study looking at … firms with more delayed resolution of uncertainty offer higher yields once default and overall risks have been controlled … Uncertainty (TRU) facing the firm. Both results are mitigated for firms whose managers enjoy fewer information asymmetries. We …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the period examined …

liquidity. Inside banks, given lack of observability of effort, loan officers (or risk takers) are compensated based on the … macroeconomic risk, investors reduce direct investment and hold more bank deposits. This ‘flight to quality’ leaves banks flush with … in order to curb risk-taking incentives at banks, and conversely, follow an expansionary monetary policy in times of …

market risk, and thus represents an additive background risk. Investors who experience positive shocks to their expected … the shocks to the expected background risk across the agents. The demands of the two agents are convex or concave in the …