This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....

I document that US financial uncertainty shocks, measured by an unexpected increase in VIX, have a substantial impact on the output of emerging market economies (EMEs) without material impact on US output during the last two decades. To understand this puzzling phenomenon, I propose an...

This paper presents a possible solution to financial crises by addressing the core of the problem of systemic risk. To get there, it first illustrates a number of crises related situations before the definition of systemic risk is detailed. It then explains challenges of systemic risk and...

Uniswap is a decentralized exchange (DEX) and was first launched on November 2, 2018 on the Ethereum mainnet [1] and is part of an Ecosystem of products in Decentralized Finance (DeFi). It replaces a traditional order book type of trading common on centralized exchanges (CEX) with a...

Water-related risks are intrinsically linked to both climate and nature challenges and can be closely tied to socio-economic challenges, such as poverty, food security, and domestic and international conflicts. There is increasing evidence that water-related risks are financially material across...

How do banks choose their debt maturity structure when credit markets are subject to information frictions? This paper proposes a model of equilibrium maturity choice with asymmetric information and endogenous roll-over risk. We show that in the presence of public signals about firms'...

This article focuses on the computation of VaR and CTE. It provides a very accurate and fast method, based on Fourier analysis and following Boyarchenko and Levendorskii (2000). Once the characteristic function of a marginal law is known, the computation of VaR or CTE is performed using a Fast...

Riskier firms use more covenants, yet effective covenants should reduce the probability of bankruptcy by restricting management's actions. We disentangle these two relations between covenant use and bankruptcy risk by considering predicted and actual covenant use. We find that predicted covenant...

Riskier firms use more covenants, yet effective covenants should reduce the probability of bankruptcy by restricting management's actions. We disentangle these two relations between covenant use and bankruptcy risk by considering predicted and actual covenant use. We find that predicted covenant...

This paper shows empirically how asset risk and financial leverage interact to explain the equity risk dynamics of value versus growth stocks. During economic downturns, the asset betas and leverage of value firms increase, contributing to a sharp rise in equity betas. Asset betas of growth...