The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile … financial markets. It is for this reason that there exists volatility model risk against which it is illusory to try to immunize …

2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the … rate risk, is more closely associated with comprehensive income volatility than either net income volatility or fair value … negatively associated with bank share prices, suggesting that comprehensive income volatility captures incremental risk factors …

industry investment occurs earlier than socially optimal and the first entrant takes more risk than socially optimal. While …, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …

-driven volatility estimators using high-frequency data and suggest multivariate applications. In addition to testing for the presence of … associated with the Asian and Russian financial crises. We find changes in the dynamics and long memory of volatility in the …

assumptions of the Merton model: the assumption of constant asset volatility and the assumption of a single debt maturity. The … study uses market and banks? balance sheet data. It finds that systemic risk in Luxembourg banks, while mildly correlated … heights of the financial crisis. In addition, it finds that systemic risk has declined during the second half of 2010, both …