This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a �static� fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ï …

mid-1990s, which is negative on average and displays a non-trivial cyclical component (risk premium). We show that the …

common factor, which cannot be explained by indicators of economic activity, uncertainty, and risk aversion. …

Among the many controversial variables in finance, risk premia stand out for their lack of observability. Measuring … premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about … are influenced by the ex-ante values of the risk premia and ex-post returns are, if any, rough approximations of these …

of Madan and Milne to a multiple expiration setting, we present an estimation method for the risk-neutral probability at …

This paper uses Garch models to estimate the objective and risk-neutral density functions of financial asset prices and …, by comparing their shapes, recover detailed information on economic agents' attitudes toward risk. It differs from recent … is recovered from the estimation of a nonlinear Garch fitted to the historical path of the asset price. The risk …

confined to single periods or to a small group of shares, but holds in different sub-periods and for securities in all risk … return generating process and the stability of the risk measures. …