Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of … loan required that the spread of loan required by risk-averse lenders is in general higher than the risk premium of the …

risk. Calibrations show that the impact of model uncertainty could be enormous, lowering the equilibrium risk-free rate and … increasing the equity risk premium. This finding contributes to a potential explanation for the equity risk premium and risk … is necessary to explain the equity risk premium puzzle. In this paper, the equilibrium wealth and expected utility under …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities …. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount … literature. Weprovide evidence that non-linearities arise from hedging strategies of investors exposed tointerest rate risk …

interest rate risk with respect to time, which implies that the investor increases the amount in the bonds. This comes at the …

This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market … consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about … the risk premia, the volatilities, and the correlation. The investor’s preferences display both risk aversion and …