Mortality population data available for the Asia-Pacific Region are currently limited. This report summarizes a data collection exercise targeting mortality data from the Asia-Pacific (APAC) region. The assembled datasets are made freely available for future research. These are: (a) Asia-Pacific...

We find evidence of neglected risk during sovereign debt expansions (DE), by analyzing the sovereign credit market for both crisis and noncrisis Eurozone countries from 2002-2017. We show that whereas DE predicts increased default probability, large DE predict negative future risk premia. Using...

After Hurricane Andrew the U.S. Congress entertained proposals to allow insurers to employ tax-deferred loss reserves. Interest was strong at first, but as the events receded interest waned. After the most recent hurricane seasons, interest in the proposals has rejuvenated. We examine the use of...

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we document local currency depreciations ahead of unscheduled, public, sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower...

We test for limited attention bias in institutional investor trading. We use the universe of transaction-level data of institutional investors trading in the U.S. corporate bond market. Results show that trading volume abnormally increases in subsamples of uninformative rating actions. We also...

Mortality risk varies geographically, especially in the Asia-Pacific (APAC) region, where economic development is quite diverse. We present a newly-collected dataset on aggregate population mortality from eleven countries in APAC, which we rank based on their economic development. Using lead-lag...

Appointed actuaries are responsible for estimating the largest liability on property-casualty insurance companies' balance sheet. Actuarial independence is crucial in safeguarding accurate estimates, where this independence is self-regulated by actuarial professional institutions. However,...

We investigate the lead-lag relationships between issuer-paid and investor-paid credit rating agencies (CRAs), after the regulatory reforms in the U.S. (2002-2006) also including outlooks. Over our sample period, ratings (but not outlooks) issued by issuer-paid agencies were certified by the SEC...

We use the 2008 crisis as an exogenous shock to the annual pension funding ratios of U.S. corporate defined benefit (DB) pension plans to examine the causal impact on the assumption of expected return on pension assets (EROA). Contrary to prior literature, we find that DB pension plans...

Default risk in equity returns can be measured by structural models of default. In this paper we propose a credit warning signal (CWS) based on the Merton default risk (MDR) model and a Regime-switching default risk (RSDR) model. The RSDR model is a generalization of the MDR model, comprises...