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Insurance companies can be exposed to climate-related physical risk through their operations and to transition risk through their $12 trillion of financial asset holdings. We assess the climate risk exposure of property and casualty (P&C) and life insurance companies in the U.S. We construct a...
Persistent link: https://www.econbiz.de/10014353337
Euro area data show a positive connection between sovereign and bank risk, which increases with banks' and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based banks' runs) which provides a link between...
Persistent link: https://www.econbiz.de/10010226188
This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of...
Persistent link: https://www.econbiz.de/10012897358
This paper documents the existence of primary dealers’ losses in Treasury bond markets and investigates how these losses a¤ect dealers’ market value. Using a novel data set that tracks more than 2,350 primary-to-secondary transactions, we find that bond losses for primary dealers are...
Persistent link: https://www.econbiz.de/10013246144
We examine the effect of the bond capital supply uncertainty of institutional investors (e.g., mutual bond funds and insurance companies) on the leverage of the firm using a novel dataset. Our main finding is that the supply uncertainty of the firm's bond investor base — measured as (i) the...
Persistent link: https://www.econbiz.de/10013035878
markedly different from the foundational papers of Modern Portfolio Theory (MPT). This is important as Goals-based Investing …
Persistent link: https://www.econbiz.de/10012843610
We analyze the distributional effects of monetary policy on income, wealth and consumption. We use administrative household-level data covering the entire population in Denmark over the period 1987-2014 and exploit a long-standing currency peg as a source of exogenous variation in monetary...
Persistent link: https://www.econbiz.de/10013347177
This paper is a piece for contributing to the sustainable European stake in order to interlock financial systems with the objectives of the 2030 Agenda (the UN’s SDGs). It is intended to be used as a platform for discussion between risk management practitioners in the financial industry and...
Persistent link: https://www.econbiz.de/10013309432
Can the art and science of investment management be reduced to a set of patterns that markets generally follow, in apparent violation of the efficient market hypothesis? Can investors reasonably expect to make money from the knowledge of these patterns, even after they have not only been...
Persistent link: https://www.econbiz.de/10013021342
Persistent link: https://www.econbiz.de/10008822818