and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

This paper develops methods and a framework of financial market theory. We model financial markets as a system of … that impact financial markets. We use the risk ratings of agents as their coordinates and approximate a description of … in the economic domain. The motion of separate agents in the economic domain due to a change of agents' risk rating …

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …

Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental … Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas … the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner …

-section of expected returns. In addition, the estimated risk premia are economically small, have wrong signs and the low …-frequency risk exposures fail to match known patters in average returns. Overall, my work highlights the need for risk preferences … that allow investors to be more risk averse to business-cycle frequencies …

This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for … redenomination risk from the yield spreads between these two types of bonds. Redenomination risk primarily shows up at the short end … -2% for Germany. The ECB's interventions designed to reduce the risk of a breakup successfully did so for Italy, but …

In asset pricing models, the indirect synchronizations of changes in time-varying relative risk aversion (RRA) with …