underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

The dissertation examines the effect of counterparty risk on the price difference between defaulted US bond prices … the period of 2008-2015. The counterparty risk is measured by the changes before and after the auction day in the weighted … and financial sectors. The impact of the counterparty risk effects is tested through various specifications of regression …