implications on decisions based upon prediction of volatility, especially when dealing with tail prediction as in risk management …

state variables. These latent variables can capture not only the volatility risk and the interest rate risk which … potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is …

summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the … remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross …

We derive several popular systemic risk measures in a common framework and show that they can be expressed as … transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar … show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk …