dimension of systemic risk and financial constraints as a key determinant of persistence. …

We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR … firms with high credit risk. The ratio also declines for longer holding periods. We also observe a positive correlation …

into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector … sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger …

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …

of climate risks. This paper introduces a model of climate risk hedging and estimates that approximately three percent of …

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced … security-by-security basis from historical daily traded volumes and price returns. Systemic risk within the euro area financial … heterogeneous price impact parameters. Another new feature in this work is the application of a price-at-risk measure instead of the …