intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk …

risk in which all banks choose inefficiently high leverage to fund correlated assets and market discipline is compromised … ; systemic risk ; bailout ; forbearance ; moral hazard ; capital requirements …

regular core capital requirement that helps deter excessive risk-taking incentives. The second tier, a novel aspect of our … framework, is a special capital account that limits risk taking but preserves creditors' monitoring incentives. -- capital … requirements ; leverage ; systemic risk …

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset … of established asset-pricing models that assume constant risk aversion across maturities. …

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading …

compensation for risk, especially for higher covariance with income growth and lower liquidity. Superstar real estate is …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to "good news," but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …