Jean-Sébastien Fontaine - Latest
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Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity. -
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk. -
Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.