-Scholes model, a fully parametric specification. For S&P 500 futures, we find that the risk-neutral distribution implied by the … the underlying assets. We develop an improved semiparametric methodology for estimating risk-neutral probability density … daily time series of risk-neutral PDFs spanning the late 1980's through 1999, for S&P 500 futures, U.S. dollar/Japanese yen …

model that fails to take account of this dependence can badly mismeasure a portfolio's "Value-at-Risk" (VaR), even if the …This paper explores the possible advantages of introducing observable state variables into risk management models as a … set of underlying state variables that are autoregressively conditionally heteroskedastic (ARCH), then a risk management …

This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency …

changing expectation of credit losses with a model-free method. Using a log-linearized pricing identity and a vector …

risk-return efficiency locus faced by the individual investor. The building blocks of the inverse turn out to be the …

formulation and execution of the client firm's risk management strategy that was to be implemented through the large-scale use of …

We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular … greater country risk. …

errors, the credit risk models perform relatively better for high grade bonds. Controlling for credit rating, the model …From a credit risk perspective, little is known about the distress factors -- economy-wide or firm-specific -- that are … risk models. Empirically, we find that firm-specific distress factors play a role (beyond treasuries) in explaining …