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 …

Understanding the nature of credit risk has important implications for financial stability. Since authorities … 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 …

risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …

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 …

-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained. …

from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and … premia. In addition, we demonstrate a linkage between the default barrier, jump intensity, and barrier volatility estimated …

, the GHT bound). The author's bound incorporates variance risk premia. It reaches the GHT bound when non-linearities in … variance risk premia that improves on the Bekaert and Liu (2004, the BL bound) optimally scaled bound. This bound reaches the … kernels are able to describe returns ignoring the impact of higher moments and variance risk premia. When accounting for the …

monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …