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Book

Monitoring Leverage

While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.

Book

Taxing Systemic Risk

How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.

Book

Hedge Funds in the Aftermath of the Financial Crisis

There is little evidence to suggest that hedge funds caused the financial crisis or contributed to its severity in any significant way. However, they do have the potential to generate systemic risk. We outline four policy actions to address this.

Book

How to Calculate Systemic Risk Surcharges

Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.

Macro Wrap-Up

Winter is Coming Before Brexit

Does reading about Brexit make you feel like a guest of Ramsay Bolton? This week we try to give you a clear account of what is going on and what to look for in markets. It won’t bring peace to the Seven Kingdoms, but it may answer some of your questions about Brexit

Book

20 for Twenty: Selected Papers from AQR Capital Management

20 for Twenty commemorates AQR’s anniversary with a collection of 20 papers that have formed the backbone of our investment philosophy.

Interview

Words From the Wise DB Plans Glossary

This appendix provides some terminology and key concepts as background for AQR's discussion with Martin Leibowitz of Morgan Stanley.

Journal Article

Market Rate Expectations and Forward Rates

Three main forces determine the term structure of forward rates: the market’s rate expectations; required bond risk premia; and the convexity bias.

Macro Wrap-Up

Australia Avoids the Breaking Point

Australia has broken some of the “laws” of economics by avoiding recession for thirty years. Now the economy faces some challenges. Find out what they are and what it may mean for the future.

Working Paper

An Anomaly in the Topix-Nikkei Spread