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Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Chen, Hui - 2019
We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets …
Persistent link: https://www.econbiz.de/10012905688
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Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Chen, Hui - 2019
We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …
Persistent link: https://www.econbiz.de/10012891794
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Demand for crash insurance, intermediary constraints, and risk premia in financial markets
Chen, Hui; Joslin, Scott; Ni, Sophie X. - 2019
Persistent link: https://www.econbiz.de/10011996785
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Demand for crash insurance, intermediary constraints, and risk premia in financial markets
Chen, Hui; Joslin, Scott; Ni, Sophie Xiaoyan - In: The review of financial studies 32 (2019) 1, pp. 228-265
Persistent link: https://www.econbiz.de/10012033392
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Essays in asset pricing and financial intermediation
Marchuk, Tatyana - 2017
Persistent link: https://www.econbiz.de/10011875880
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Safe assets : a review
Golec, Pascal; Perotti, Enrico C. - 2017
maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality …
Persistent link: https://www.econbiz.de/10011637030
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Inequality, disaster risk, and the great recession
Kim, Heejeong - In: Review of economic dynamics 45 (2022), pp. 187-216
Persistent link: https://www.econbiz.de/10013347006
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Intermediary asset pricing : new evidence from many asset classes
He, Zhiguo; Kelly, Bryan T.; Manela, Asaf - 2016
Persistent link: https://www.econbiz.de/10011434778
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Intermediary Asset Pricing : New Evidence from Many Asset Classes
He, Zhiguo - 2016
classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital …
Persistent link: https://www.econbiz.de/10013000523
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Intermediary Asset Pricing : New Evidence from Many Asset Classes
He, Zhiguo - 2016
classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital …
Persistent link: https://www.econbiz.de/10012456752