This paper investigates how recent changes in market interest rates have affected risk-adjusted returns. Returns are … adjusted for duration, a measure of interest rate risk. Prior to the 2007-2008 rate decrease, one-year Treasuries offered the … best risk/return tradeoff. As a result of the rate decrease, short rates dropped much more than longer rates, rendering the …

This paper investigates the financial risk-taking behavior of pension funds since 2000. I assemble a new database … and Asian funds focus on alternative assets. Second, I find evidence that declining domestic risk-free rates play a … aggressively, which is exacerbated during periods of low risk-free rates. This is most pronounced for European pension funds …

Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

represented by a model with these forward rates as factors. This leads to a canonical parametrization of the risk-neutral dynamics …, which indirectly supports the view that limits to arbitrage or market illiquidity played a role in shaping bond risk premia …

-varying variance-covariance following a Wishart Autoregression process, which directly drives the risk price in the stochastic discount …

this model is that the risk premium of yields is directly driven by the time-varying variance-covariance of the VAR …