volatility versus tail risk trade-off based on conditional Value-at-Risk calculations. Our results show that overnight downside … market risk is composed of a moderate volatility risk component and a significant tail risk component. We conclude that … market participants face different intraday versus overnight risk profiles and that a risk assessment based on volatility …

We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein …-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they … "synchronized'' idiosyncratic risk. Third, combined with high market risk premium in the bad states, the clustered risk …

volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …-varying announcement volatility as announcement event risk varies by as much as an order of magnitude over time …- lows to identify announcement returns, capture intraday volatility dynamics, and identify conditional announcement …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing … methodology for kurtosis swaps. The expected excess returns on such swaps are interpreted as higher-moment risk premia. I find … evidence supporting an increase in tail risk when variance is low and expectations about economic growth are positive. In such …

show that the absence of the risk-return relationship in the high volatility state is due to leverage and volatility … modification that yields a positive tail risk-return relationship in all states of market volatility …We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the …

This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

financial sector stress, the risk premium on futures and implied volatility of options increase significantly. The effects are …I examine the impact of financial sector stress on risk sharing in a novel setting: the CME's weather derivatives … greatest for high margin and high total risk contracts. Consistent with a decline in the supply of financial capital during …