(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …

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 …

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 …

markets via the discount rate effect, resulting in a higher risk premium. Our results are important for investors, corporate …

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 …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … securities during the period 1999–2005. We find that discrete jumps contribute between 15% and 25% of total asset risk for all … equity index futures, and between 45% and 75% of total risk for Treasury bond futures. Jumps occur roughly once every five …