probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

risk increased significantly for financial stocks and the importance of market risk for them dropped, but the financial … only somewhat stronger and was not pervasive, and conditional volatility risk premium did not rise. Also, negative skewness …&P 500. Empirical one tail 99% Value at Risk for stock portfolios shot up more than two hundred percent, driven mainly by …

risk increased significantly for financial stocks and the importance of market risk for them dropped, but the financial … only somewhat stronger and was not pervasive, and conditional volatility risk premium did not rise. Also, negative skewness …&P 500. Empirical one tail 99% Value at Risk for stock portfolios shot up more than two hundred percent, driven mainly by …

written on individual banks and options written on the bank index during the financial crisis. However, theory requires that …

We present a new approach for estimating small business equity returns. This approach applies the Merton (1974) credit … model to the returns on entrepreneurial business credit card debt securitizations and solves for the implied equity returns …

sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by … in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports …