The young growing market for green bonds offers investors the opportunity to take an explicit
focus on climate protecting investment projects. However, it is an open question whether this …

Never before has risk management been so important. Now in its third edition, this seminal
work by Joël Bessis has been comprehensively revised and updated to take into account the …

This article reviews the principal features of structured finance instruments. Key to
understanding the risk properties of these products is the evaluation of the risks associated …

We compare the market pricing of euro area government bonds and the corresponding
Credit Default Swaps (CDSs). In particular, we analyse the “basis” defined as the difference …

In this paper we propose a framework for measuring and stress testing the systemic risk of a
group of major financial institutions. The systemic risk is measured by the price of insurance …

This paper attempts to explain the credit default swap (CDS) premium, using a novel
approach to identify the volatility and jump risks of individual firms from high-frequency …

This paper surveys the literature on the linkages between asset prices and macroeconomic
outcomes. It focuses on three major questions. First, what are the basic theoretical linkages …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

This paper decomposes the explained part of the CDS spread changes of 32 listed euro
area banks according to various risk drivers. The choice of the credit risk drivers is inspired …

This paper introduces a new approach to pricing sovereign risk based on sovereign credit
default swap (CDS) spreads. We estimate a dynamic market-based measure of sovereign …