-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega … ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …

covered bonds are secured and backed by collateral. Our results show that collateral reduces the total risk in individual … significantly lower level of systematic risk. However, the fraction of systematic risk to total risk is higher for covered bonds. By … decomposing the variance of bond returns, we find that around 33% of the risk in senior bonds is systematic, versus 53% in covered …

priced risk factor and differentiation between specific and common uncertainty important. Our results are robust across …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

interest rate duration and time-varying exposure to default risk. We estimate a regime switching model and show that shocks to … default risk have a large impact on loan returns when leverage is high and a much smaller impact on loan returns when leverage … is low, consistent with standard models of credit risk pricing. As a result, the systematic risk exposure of corporate …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …