financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate … market expectations about exchange rate developments. Based on these risk-neutral density estimates, we then assess the out … also find that, for the Czech Republic and Poland, risk-neutral densities contain useful information on the direction of …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to good news, but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

factors behind the credit and liquidity risk components. The out-of-sample forecasting properties of the resultant econometric …

that the expected average of all forecasters' forecasts (the expected consensus forecast) influences an individual … forecaster's own forecast. This looks like herding. In our survey, forecasters do not herd for reputational reasons, however … our study, we conclude that our results indicate that the incorporation of the expected consensus forecast into individual …

This paper examines the prediction accuracy of various machine learning (ML) algorithms for firm credit risk. It marks … the first attempt to leverage data on corporate social irresponsibility (CSI) to better predict credit risk in an ML … context. Even though the literature on default and credit risk is vast, the potential explanatory power of CSI for firm credit …