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 …

the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

extraction and explanation of the source of term risk. These findings provide: (i) a detailed analysis of the incomplete market … paradigm that encapsulates inter-bank term rates and the risk management processes involved therein; and (ii) theoretical and …

In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in … endogenously the funding-liquidity spread by relating it to the risk-sensitive optimization problem of a representative investor …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed …