This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document …

derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset-pricing …-bearing capacity have particularly strong forecasting power for energy returns, both in sample and out of sample. -- Asset pricing …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing … of established asset-pricing models that assume constant risk aversion across maturities. …

firm follow a geometric Brownian motion, we show that the term structure of credit spreads is decreasing or hump … exist. This intensity is characterized through the compensator. In the geometric Brownian motion setting, the spread term …