This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

) pricing. Using results from the method of copulas, I show that the multivariate risk-neutral density can be written as a … product of marginal risk-neutral densities and a risk-neutral dependence function. I then develop a pricing technique using … nonparametrically estimated marginal risk-neutral densities (based on options data) and a nonparametric dependence function (based on …

--in particular, balance sheet constraints and counterparty credit risk. The empirical evidence supports the Fed's views on the … risk as the crisis evolved in 2008. I conclude that an understanding of the prevailing risk environment is necessary in …

Program (HARP). We use a competing risk model to estimate the sensitivity of default risk to downward adjustments of borrowers … an average loss given default of 35.2 percent, this lower default risk implies reduced credit losses of 134 basis points …