options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary … equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium … corresponds to the jump risk varies between 0 and 12 percent …

We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets … corporate frictions do not seem to explain excessive observed credit spreads, but, instead, a risk premium for tail and …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

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 …

occur and affect each country's productivity. Each country's exposure to disaster risk varies over time according to a mean …-reverting process. Risky countries command high risk premia: they feature a depreciated exchange rate and a high interest rate. As their … risk premium mean reverts, their exchange rate appreciates. Therefore, currencies of high interest rate countries …

floors, as well as other exotica. The models may be used (i) to hedge long period interest rate risk cheaply, (ii) to hedge … event risk (regime based risk), (iii) to manage long term foreign exchange risk by hedging through the average interest … differential, (iv) managing credit risk exposures, and (v) for pricing specialized options like range-Asians. The techniques in the …

facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …