Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other … risk concerns associated with them. CoMargin can be estimated using a model-free and scenario-based methodology, validated …

risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio …

Expected returns vary when investors face time-varying investment opportunities. Longrun 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. We show that, for both classes of models, the term structure of risk implicit in option prices can …

implemented using timely and low-cost methods. The authors explore two models applied to option prices to extract the risk …

loan and an implied risk premium. …

related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in …