theory. In other words, foreign investors’ home bias is still strong. The overall increase in foreign holdings of Asian debt … securities appears to be driven by relatively stable exchange rates and the higher risk-adjusted returns on the debt securities …

reasons. The main reason in the case of advanced Asia (especially Japan) appears to be higher risk-adjusted returns, whereas …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several … questions: Is there enough diversification of risk in a global credit portfolio to allow for a good hedge? Is basis risk higher …

This paper analyzes the dynamics of risk premia, real exchange rates and portfolio movements in a two-country, two … it is subject to trend shocks and it is more risk averse. We find that the trend shocks produce strong wealth effects for …, our model can endogenously generate large portfolio holdings. And differences in the risk aversion across countries lead …