their mean, standard deviation, skewness, and kurtosis. I further break these relationships down by various fixed horizon …

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit … default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study …