The WRDS Corporate Bond Database, introduced in April 2017, offers a clean and publicly accessible dataset for corporate bond research. In this article, we construct and replicate the Bai, Bali, and Wen (2019, BBW) factors using the WRDS bond returns with the SAS codes in the appendix. Using the...

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with US, European and Asian bank data. Consistent with bank...

This paper examines derivatives use of foreign exchange, interest rate and commodities risk by non-financial firms across multiple industries, using data from 1995 to 2001. This paper considers the interaction of a firm's risk exposures, derivatives use, and real operations simultaneously, and...