Thomas Cosimano

Independent

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Scholarly Papers (1)

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Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

IMF Working Paper No. 20/53
Number of pages: 27 Posted: 20 Apr 2020
Ralph Chami, Thomas Cosimano, CĂ©line Rochon and Julieta Yung
International Monetary Fund (IMF), Independent, International Monetary Fund (IMF) and Federal Deposit Insurance Corporation
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Abstract:

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Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, termstructure model, risk aversion distribution, low interest rate environment, WP, yield curve, interest-rate, risk aversion, conditional mean, treasury security