, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …. These comovements generate large credit risk premia for investment grade firms, which helps address the "credit spread …

default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …

financialization of commodity markets, valuable information about commodity risk premiums can be extracted from asset pricing models …

traditional measure of risk, equity volatility. We show that each variable has a statistically significant effect on the timing of …, and ambiguity increasing the tendency for executives to exercise early in response to risk aversion. Regression estimates …

lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low risk …

the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a … flexible relation between risk premia and the level of risk. Both extensions lead to an improved characterization of observed …

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …, as the disaster risk increases, customers demand more puts as insurance while market makers become more credit …