Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic … observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its … swap rates. The exchange's variance swap rate formula, used to quote volatility indices such as VIX, has an upward bias …

This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap … (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs … measured by notional amount is $231 trillion, but, measured by ENNs, is only $13.9 trillion 5-year swap equivalents, which is …

intermediaries to lower expected returns and non-fundamental price fluctuations. In anticipation, risk-averse intermediaries trade … time-variation in the risk premium, Sharpe ratio and volatility even when risk aversion and the variance of fundamental … of fundamentals, the mechanism highlighted suggests fluctuations in the risk premium can be sub-optimal to the extent …

, whilst removing credit risk transmission, systematically increase default risk …

In this study, we examine how banks' stock price crash risk is affected by recourse uncertainty embedded in … securitizations. By recourse uncertainty, we mean the difficulty for equity market participants to assess the true extent of risk … recourse uncertainty is positively associated with the future crash risk of securitizing banks. The result holds after …

We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience … cannot be explained by several known determinants of average returns and are consistent with the ex-ante pricing of the risk …

market and actuarial assumptions and how these sensitivities make them a potentially important source of risk to insurance … policyholder behavior to derive fair prices for variable annuities in a risk neutral framework and to estimate sensitivities of … hypothetical portfolios. The main findings of this exercise are: (1) interactions between market risk modeling assumptions and …

make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely … the risk of funding shortfall. We seek to explore the optimal asset allocation strategies for such institutions, the … effects of funding shortfall risk on asset prices, and its ability to explain any empirical asset pricing regularities that …

The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …

We examine risk-return trade-offs associated with “covlite” deals which lack systematic covenant compliance … requirements of traditional “covheavy” deals. We document demand-driven risk taking incentives in the primary markets where covlite … deal pricing has become increasingly borrower-friendly over time, particularly for high-leveraged low-credit-quality “high-risk …