Papers & Reviews

  • 15 December 2017
Sovereign bond risk premiums

Keywords: Sovereign bond risk premiums, market and credit risk factors, euro-zone debt crisis.

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  • 13 December 2017
On the tail risk premium in the oil market

Bank topics: Asset pricing; Econometric and statistical methods; Financial markets.

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  • 15 Noviembre 2017
A quantitative analysis of risk premia in the corporate bond market

Keywords: bond excess return, credit default swap, distress risk premium, expected default frequency, jump-at-default risk premium.

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  • 26 Junio 2017
The missing risk premium in exchange rates

Keywords: Currency returns, forward premium puzzle, present-value model, real exchange rates, uncovered interest rate parity.

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  • 23 Junio 2017
Where is the risk?

The forward premium bias, the carry-trade premium, and risk-reversals in general equilibrium.

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