This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the...

The global financial crisis brought government guarantees to the forefront of the debate. Based on a review of frictions that hinder financial contracting, this paper concludes that the common justifications for government guarantees—i.e., principal-agent frictions or un-internalized...

This article analyzes the modelling of risk premia in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Similarly to electricity markets, a salient characteristic of CO2 allowances is that the theory of storage does not hold, as CO2...

This paper uses a risk-averse formulation of the uncovered interest rate parity to determine exchange rates through interest rate differentials, and ultimately extract currency risk premia. The method proposed consists of developing an affine Arbitrage-Free class of dynamic Nelson-Siegel term...

Social impact bonds are a special type of bond whose purpose is to provide long term funds to projects with a social impact. Especially in the UK and in the US these bonds are increasingly being used to raise funds to finance government projects. Their return depends on the social improvements...

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel...

Recovery risk to explain corporate debt premia has not received much attention so far, most likely due to the difficulties around decomposing the expected loss. We exploit the fact that differently-ranking debt instruments of the same issuer face identical default risk but different...

The aim of this paper is to analyze the existence of risk premia whithin the theorical framework of the CAPM, for long terrn interest rate futures contracts of the Spanish Market for Financia1 Futures. The analysis shows that the operators in futures bear systematic risk, and that its...

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...

Momentum in developed countries' stock market index returns can be exploited to form portfolios of excess returns on foreign currencies as relatively high past foreign stock market returns signal a foreign currency appreciation. Two risk factors extracted from the stock index momentum based...