arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple … bond spreads when pricing credit risk. …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even …

This empirical study analyzes market and currency risk premia during financial and political crises within the … Germany. Market risk is measured against the world market and currency risk against the deposits in Swiss franc, British pound … significant time-varying market and currency risk premia. The market prices of risk and risk premia are both statistically and …

for corporate debt, credit default swaps and collateralized debt obligations by decomposing the risk structure arisingfrom …

convex risk measure. The key tools for our investigations are a representation of conditional convex risk measures (or MCUFs …

the Silvermann's method. This paper can be seen as a model risk study that emphasizes the possible errors induced by the …

We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return … variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic … returns carry a large positive riskpremium. This implies investors pay for insurance against increases (declines) in …