transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk …

contingent IMF financial support on the risk premiums and the crisis probability. In the model, the country borrows in both short …

emerging economies in handling risk premium shocks. As long as the weight placed on exchange rate smoothing is relatively small …

We test the implications of Flannery's (1986) and Diamond's (1991) models concerning the effects of risk and asymmetric … choices. We employ data on over 6,000 commercial loans from 53 large U.S. banks. Our results for low-risk firms are consistent … with the predictions of both theoretical models, but our findings for high-risk firms conflict with the predictions of …

We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk …. The market price of risk under stress (the expectation of the market price of risk, conditional on it exceeding a certain … threshold) is computed from the price of risk (which is the variance of the market price of risk) and the discount factor (which …

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield …-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial …

stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk …-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk …-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor …