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 …

return swaps with the banks whereby the bank is the actual owner of the stock, but Archegos would bear the risk of loss …

=3.53). In line with my theory, the performance difference between low-funding-risk and high-funding-risk funds is … funding risk, I show that funds with a high exposure to market-wide funding shocks - measured by changes in Libor-OIS spreads … - subsequently underperform funds with a low exposure to market-wide funding shocks by $5.99\%$ annually on a risk-adjusted basis (t …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

performance of the top five ELSS schemes of different mutual funds in India using various tools like Beta, Sharpe ratio, Jensen …

We examine risk-return trade-offs associated with “covlite” deals which lack systematic covenant compliance … requirements of traditional “covheavy” deals. We document demand-driven risk taking incentives in the primary markets where covlite … deal pricing has become increasingly borrower-friendly over time, particularly for high-leveraged low-credit-quality “high-risk …

returns are close to empirically observed average fund returns for moderately risk tolerant LPs with private equity … allocations up to 40%. Likewise, optimal portfolio allocations for these LPs are similar to those observed in practice. More risk …

funding support towards funds without a performance fee and funds that cater to the less-performance sensitive investors …