This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and relies solely on a stock index returns. This makes...

Fixed income Asian options are frequently adopted by companies to hedge interest rate risk. Having a payoff structure depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a joint dataset of bonds and Asian interest rate...