The growth in credit supplied by non-banks accelerated with the rise of corporate-bond mutual funds. The nature of their liabilities means that these funds are important sources of liquidity demand, often in already unsettled markets. The concomitant reduction in liquidity supply by dealers...

Financial markets depend on information flows that facilitate capital allocation. Information governance is the set of regulatory provisions designed to mitigate conflicts of interest that could interfere with these flows, so to ensure that all market participants receive a baseline of reliable...

We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatility and correlations by bringing together the established historical simulation framework and recent contributions to the dynamic factor models literature. We find that the...

Trading portfolios at Financial institutions are typically driven by a large number of financial variables. These variables are often correlated with each other and exhibit by time-varying volatilities. We propose a computationally efficient Value-at-Risk (VaR) methodology based on Dynamic...

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a...