2 papers
econ.GN2026
Credit Capacity and the Propagation of Funding Shocks: Evidence from U.S. and Brazilian Financial Intermediaries
Ayush Jha, Ali Jaffri, Frank Fabozzi
Why do similar funding shocks generate sharply different credit outcomes across countries? We develop and estimate a dynamic structural model in which intermediary credit capacity…
q-fin.RM2026
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
Nolan Alexander, Frank Fabozzi
This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk. Using a leave-one-out rep…