on futures and options on the OVX implied volatility index, and thus is of interest to traders, risk- and fund-managers. …

theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical … determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for … amount of the variation in the data. We therefore conclude that variance risk premia, volatility and the risk free rate are …

, we show the concept of equilibrium with dividends (See Aumann and Dreze (1986), Mas-Collel (1992)) is pertinent only when … from the fact that in decentralized markets, increasing the incomes of consumers through dividends, if it is possible, is …

, we show the concept of equilibrium with dividends (See Aumann and Dreze (1986), Mas-Collel (1992)) is pertinent only when … from the fact that in decentralized markets, increasing the incomes of consumers through dividends, if it is possible, is …

the premium received by unit of time, or by a lost of dividends for the shareholders if the other line of business is … as they receive part of the dividends. In this paper, we focus on a particular line of business, and provide an … approximation for expected time to ruin, and the expected amounts of dividends paid to the shareholders, and used to pay penalty due …

This paper proposes a simple continuous time model to analyze capital charges for operational risk. We find that … undercapitalized banks have less incentives to reduce their operational risk exposure. We view operational risk charge as a tool to …