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

, 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 …

This paper addresses the question of how an institution might optimally manage the market risk of a given exposure. We … provide an analytical approach to optimal risk management under the assumption that the institution wishes to minimize its … Value-at-Risk (VaR) using options follows a geometric Brownian. The optimal solution specifies the VaR-minimizing level of …

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and … risk or for the low average returns of stocks with high idiosyncratic volatility. …

-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

countries. Yet these liabilities are rarely measured, let alone properly adjusted for their risk. This paper shows, by example …, how modern asset pricing can be used to value implicit fiscal debts taking into account their risk properties. The example …