When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved … allow for optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

market risk, and two typical event study approaches (the mean-adjusted-return approach and the market model approach). For … structural breaks in the data. Our results indicate that the event day return effect is partly justified by the risk and/or the … risk premium on that day …

returns. The relationship is concentrated in the left tail of the return distribution and largely driven by increases in … markets via the discount rate effect, resulting in a higher risk premium. Our results are important for investors, corporate …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

This paper presents a possible solution to financial crises by addressing the core of the problem of systemic risk. To … get there, it first illustrates a number of crises related situations before the definition of systemic risk is detailed …. It then explains challenges of systemic risk and solutions on an institutional level before the consequences for micro …

stocks, on days when a jump occurs, the absolute jump is between 80% and 90% of the total absolute return for that day. We …Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … stocks in the S&P 100 Index, as well as similar futures contract data on three U.S. equity indexes and three U.S. Treasury …