A novel approach is proposed to measure market risk based on the mathematical technique of wavelets. Noteworthy heterogeneity across frequencies and time are found, highlighting the usefulness of the wavelet approach

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress

This paper studies the influence of corporate governance on equity risk

The purpose of this paper is to show that differences in the ERP between developed and emerging markets lead to many empirical asset pricing issues.

This paper looks at the economic determinants of equity risk premiums, including investor risk aversion, information uncertainty and perceptions of macroeconomic risk. It also surveys two other approaches to estimating equity risk premiums rather than historical returns - the survey approach, where investors and managers ar asked to assess the risk premium and the implied approach, where a forward-looking estimate of the premium is estimated using either current equity prices or risk premiums in non-equity markets.

Abstract - We ask whether a standard structural model (Black and Cox (1976)) is able to explain credit spreads on corporate bonds and, in contrast to much of the literature, we find that the model matches the level of investment grade spreads well. Model spreads for speculative grade debt are too low and we find that bond illiquidity contributes to this underpricing. Our analysis makes use of a new approach for calibrating the model to average historical default rates and we show via simulation that this leads to much more precise estimates of investment grade default probabilities.

Abstract - We construct credit risk indicators for euro area banks and non?financial corporations. These indicators reveal that the financial crisis of 2008 dramatically increased the cost of market funding for both banks and non?financial firms. In contrast, the prior recession following the 2000 US dot?com bust led to widening credit spreads of non?financial firms but had no effect on the credit spreads of financial firms. The 2008 financial crisis also led to a systematic divergence in credit spreads for financial firms across national boundaries.

Abstract - The liquidity premium on corporate bonds has been high on the agenda of Solvency regulators owing to its potential relationship to an additional discount factor on long-dated insurance liabilities. We analyse components of the credit spread as a function of standard bond characteristics during 2003–2014 on a daily basis by regression analyses, after introducing a new liquidity proxy. We derive daily distributions of illiquidity contributions to the credit spread at the individual bond level and find that liquidity premia were close to zero just before the financial crisis.

Abstract - Euro-area sovereign bond and interbank interest rate spreads rose by more than an order of magnitude in the 2007-2009 Financial Crisis, sharply increasing financing costs. Such rate volatility could represent concerns over asset liquidity or issuer solvency. To precisely identify the relative contribution of these two effects in interest rate spreads, this paper uses a model-free measure of euro-area bond market liquidity. Liquidity accounts for 36% of the average trough-to-peak sovereign spread widening during the Crisis, after controlling for default risk.

Abstract - In the framework of this study, we have obtained a mathematical model for maintaining the financial sustainability of PAYG pension systems. We introduce the term financial soundness, by which we understand the maintenance of a balance between the contributions to the pension system and the costs of pension payments. We have proved that the financial sustainability of PAYG systems depends on the growth rates of wages, the growth rate of contribution rates. And demographic factors such as the ratio of the number of pensioners and the working population.