-term interest rate risk and shed light on the impact of temporary and long-lasting interest rate shocks on security prices …

real activity, at the aggregate and at the firm-level. We develop a dynamic model of corporate investment and risk … opportunities, as for these firms risk management through swaps is, effectively, risky …

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

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 …

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 …