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 …

universe indicates that volatility is not compensated with a “volatility” premium. We find evidence of a risk premium, but it … depends on the definition or measure of risk. “Tail risk” measures the probability of having significant losses and should be … what investors care about the most. We investigated several risk measures, including volatility and tail risk, and found …

Using ‘low-frequency' volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS … suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk …. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of …

positive link between investors' uncertainty and market risk. We also find that investors' uncertainty and market risk are …

period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and … economically very large. The variance risk premium cannot be explained by the known risk factors and option returns …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …

Recent studies find that idiosyncratic risk (IR) has increased since the 1960's and attribute this to economy wide …&D intensity and the volatility of its returns. -- Idiosyncratic Risk ; Volatility ; Technological Change ; Industry Life Cycle …