innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We … introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a …

long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk. …

yield, the frictionless risk-free rate, and default risk reveals that the covariance between stock returns and the …

We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures … managing climate risk …

We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … equity returns. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We … primarily on industry tilts. We discuss multiple directions for future research on financial approaches to managing climate risk …

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …