This paper uses a dataset that comprises information on 275 nonfinancial firms listed in the FTSE-All share index over the time period between 2005 and 2012, and reveals interesting features of the UK nonfinancial firms regarding the effect of hedging on firm value and performance. We show that...

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...

Output fluctuations in nontraded sectors are a primary country-specific risk factor because nontraded outputs are consumed domestically. While nontraded sector growth risks are mostly non-diversifiable, they can be partially mitigated by international trades in other sectors. The mitigation...

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U.S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This paper shows that standard U.S.-based disaster risk model...

The United States (US) extracts a large macroeconomic premium from foreigners: she enjoys higher consumption and GDP growths on average relative to the rest of the world (ROW). This is earned even though the US is relatively insulated against global consumption and GDP risks, challenging a...

To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...

I study the joint dynamics between the US wealth share, the dollar and the global economy. I uncover three novel stylised facts about these joint dynamics. Firstly, the US wealth share is countercyclical: it falls on impact but subsequently rises over the course of global recessions. Secondly...