Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung … Risikos angesprochen. -- pricing kernels ; risk aversion ; risk neutral density …

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies …. -- Pricing kernels ; risk aversion ; risk neutral density …

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …

; Inverse problem ; Risk aversion ; Exponential mixture ; Empirical pricing kernel ; DAX ; Market utility function …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described … level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel …

financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to … default prediction provides a better insight into fundamentals of credit risk analysis. Default prediction and default …, and Thailand. The relevant default predictors over the countries reveal that credit risk analysis is sample specific. A …