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The End of a Cycle in Latin America and Its Associated Risks
Cycle in Latin America Associated Risks
2015/5/12
Latin America is no exception regarding the changes in emerging market conditions that have occurred since May 2013. The first wave of bad news for emerging markets, which put an end to the bonanza of...
Monetary Policy Drivers of Bond and Equity Risks
Risk and Uncertainty Bonds Central Banking System Shocks Policy Macroeconomics
2015/4/28
The exposure of U.S. Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average in the period 1960–2011, it was unusually high in the 1980s and nega...
Monetary Policy Drivers of Bond and Equity Risks
Risk and Uncertainty Bonds Central Banking System Shocks Policy Macroeconomics
2015/4/27
The exposure of U.S. Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average in the period 1960–2011, it was unusually high in the 1980s and nega...
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Inflation and Deflation Bonds Interest Rates Investment Return Risk Management United States
2015/4/23
The covariance between U.S. Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953–2009, it was unusually high in the ea...
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
The aim of this research is to give a simple framework to evaluate/quantize the "transparency" of a firm. We assume that the process of the firm value is only observable once in a while but is strongl...
Financial Risks and the Pension Protection Fund: Can it Survive Them?
UK Pension financial risks moral hazard
2011/3/31
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other finan...