) to determine regulatory credit risk capital. Both rely on estimates of obligor probabilities of default (PD). Investors … leading to increased PDs, LGDs, provision requirements (through increased expected losses) and regulatory credit risk capital …

metric for assessing hedge fund performance, comprising both the relative the advantage and risk of the alternative …

portion of the value of a diversified equity investment portfolio will be placed at risk. In the accompanying Part 1 we … analysed this risk. We estimated that in a plausible worst case for climate damage the value at risk in 2030 may be equivalent …. This risk can be substantially lowered by a rapid energy transition to reduce greenhouse gas emissions. In this Part 2 we …

Using a novel dataset on correlation swaps, we study the relation between correlation risk, hedge fund characteristics … and their risk-return profile. We find that hedge funds' ability to create market neutral returns is often associated with … a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models …

Using a novel dataset on correlation swaps, we study the relation between correlation risk, hedge fund characteristics … and their risk-return profile. We find that hedge funds' ability to create market neutral returns is often associated with … a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models …

Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS … suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of …

-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap … revenue. Our results indicate that the new swap not only solves the serious problems of widespread financing constraints for … properly. We also find that the ESFs manager's risk aversion can over-turn the risk-shifting incentives when the fund is likely …

We develop and test a model in which swap spreads are determined by end users’ demand for and constrained … intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital … and for bearing convergence risk—i.e., the risk spreads will move due to a future demand-and-supply imbalance. We show …