than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the period examined …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure …

administrators and portfolio managers can defend themselves against exchange risk by using forward contracts, particularly in world …The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional …

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the … main funding currency country. We show that the measures of funding risk in Japan can explain 42% of the monthly currency …