We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed …-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well … heteroskedasticity in bond returns. An empirical application involving a data set with 15 fixed income securities with different …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond … is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … the dynamics of interest rates. Our production-based model relates the crosssectional distribution of labor income risk to … observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for …