We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

is driven primarily by idiosyncratic country risk. We analyze several local and regional channels that may explain the … trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related …

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure …

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …

than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the period examined …

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …