, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

interest rate risk with respect to time, which implies that the investor increases the amount in the bonds. This comes at the …

This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market … consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about … the risk premia, the volatilities, and the correlation. The investor’s preferences display both risk aversion and …

We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed …

an extended market price of risk specification. We show that significant improvement in bond fitting and portfolio … performance is obtained by the model. However, the restriction on market price of risk has a more negative impact on bond price … model has good predictive power for bond risk premia. Once our model factors are taken into account, other predictive …

In the current reform of interest rate benchmarks, a central role is played by risk-free rates (RFRs), such as SOFR … caplets. Finally, we study hedging in the sense of local risk-minimization when the underlying term structures have stochastic …