This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor …-term debt does not shield the country from bad news shocks, and it may even exacerbate default risk. Finally, an increase in the …