volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

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 …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not … only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates …

model of time-varying labor income risk and study the implications of stochastic covariance between labor income and … dividends for the dynamics of the risk premiums on financial wealth and human capital. …

understand the challenge of translating risk management theory into managerial action. Cephalon Inc., a biotech firm, bought a … both managers and theorists. Managers consider deadweight costs of financing and of risk management, whereas theory tends … arrive at decisions and this measurement problem is severe. Cephalon's risk management decisions seem motivated as much by …

institutions that places a large emphasis on 'worst-case scenarios'' through the use of 'stress testing'' and 'value-at-risk …

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 … option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value …, and ambiguity increasing the tendency for executives to exercise early in response to risk aversion. Regression estimates …