default swap using a cointegration approach. We demonstrated the existence of a cointegrating relationship between those two …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary … asset pricing, illiquidity and risk premia correlate negatively with proxies for the risk-bearing capacity of CDS market …

This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as …

themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …

dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves … inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

investors value carbon risk disclosure. Through a survey and empirical tests, we conclude that many institutional investors … consider climate risk reporting to be as important as financial reporting. However, systematic variation exists in their …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …