This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign "CDS" spreads. We argue that term structures of spreads reveal not only the arrival rates of credit events <formula format="inline"><file name="jofi_1399_mu1.gif" type="gif" /></formula>, but also the loss rates given credit events. Applying our framework to Mexico,...

This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and find that this demand is informative about the future realized volatility of underlying stocks. We...