Variable annuities, the largest liability of US life insurers, are investment products containing
long-dated minimum return guarantees. I show that guarantees with similar economic risks …

Many institutional investors depend on the returns they generate to fund their operations and
liabilities. How do these investors' financial conditions affect the management of their …

We use variation in banks' loan exposure to industries adversely affected by the oil price
declines of 2014 to explore how they respond to a net worth shock. Using granular data …

This study investigates how firms cope with downside risk induced by COVID-19. Employing
an entropy-balancing-matching and difference-in-differences analysis based on the COVID …

The grim impact of COVID-19—extensive financial dislocations across asset classes and
potentially large increases in morbidity and mortality—could be challenging for insurers. Life …

Life insurers are exposed to interest rate risk as their liability side is typically more sensitive
to interest rate changes than their asset side. This paper explores why insurers assume this …

The risk-taking effects of low interest rates, now prevailing in many advanced countries,("
search-for-yield") are hard to analyze due to both a paucity of data and challenges in …

The existing literature assumes that securities lenders primarily respond to demand from
securities borrowers and reinvest their cash collateral in short-term markets. We offer …

The moral hazard incentives of the bank safety net predict that distressed banks take on
more risk and higher leverage. Since many factors reduce these incentives, including …

Financial institutions manage myriad sources of interest rate risk. We propose a new method
to measure financial institutions' residual interest rate risk using high-frequency financial …