regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle … that the latter is better in terms of simplicity, transparency, and consistency with banks' risk pricing and risk …

This paper examines whether rollover risk is priced on corporate bond spreads. Using a novel data set and new proxies … for rollover risk and market illiquidity, the empirical analysis developed reveals that market illiquidity affects … corporate bond spreads beyond a liquidity premium through a “rollover risk channel”. This effect is statistically significant …

This paper is the first investigation of the interplay between dividends and risk taking in banks. I examine the role … of dividends as a risk-shifting mechanism that can exacerbate moral hazard, controlling for standard determinants of … to their shareholders, suggesting that dividends are used to shift risk from bank owners to the taxpayer. These findings …

By taking into account conditional expectations and the dependence of the systematic risk of asset returns on micro …, risk-return relationships, and time varying betas when investors change their behaviour, such as the chartists acting as …

This paper analyses the political constraints of intergenerational risk sharing. The first result is that the political … PAYG still contributes to intergenerational risk sharing. The third result is that aging increases the discrepancy between …

considers the impact of uncertainty (as opposed to risk) on portfolio choice (Garlappi, Uppal, and Wang, RFS 2007), and extend …

The aim of this study was to understand the potential effects of different information disclosures regarding risk on … prototype DOL Model Comparative Chart, providing additional risk and return information in a clear graphical manner. One … modification provided summary risk ratings, while the other provided a visual representation of actual returns series over 10 years …