This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster … and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation. …

In a Constant Maturity Treasury swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a … reference bond curve. This paper introduces a theoretical framework for the modelling of constant maturity treasury that takes … into account default risk of bond issuer. As an application, we obtain, under simple but standard assumptions, analytical …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

This paper focuses on the development of the interbank market risk premium in the Czech Republic during the global … combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and … strategic behavior. The results suggest a relevant role of market factors and some importance of counterparty risk …