We use a two factor model of life insurer stock returns to measure interest rate risk at U.S. and U.K. insurers. Our … estimates show that interest rate risk among U.S. life insurers increased as interest rates decreased to historically low levels … in recent years. For life insurers in the U.K., in contrast, interest rate risk remained low during this time, roughly …

unrelated regression (NLSUR) via GMM approach indicate that interest rate risk is the only priced factor in the unconditional … evidence of exchange rate risk is found in both large bank and regional bank stocks in the conditional three-factor model with … time-varying risk prices. Finally, estimations based on the multivariate GARCH in mean (MGARCH-M) approach where both …