The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …

Motivated by previous studies documenting significant return and volatility effects of economic policy uncertainty (EPU … which risk managers base the timing and size of their hedging programs on future price expectations, conditional on the …

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter …, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives … the market's forecast of future empirical volatility. But real world returns are not lognormal, volatility is stochastic …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

price discovery occurs around the clock for most assets. For a given asset, intraday risk and return distributions are … fairly similar, indicating a broadly constant risk-return-relationship during the day. Although the amount of price discovery … assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main …

Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero … volatility agreement is exposed to volatility carry risk …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward …