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 …

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …

We present evidence of differential effects of risk perception in the housing market. We use housing transaction data … near military bases to examine capitalization of potential military jet accident risk in house prices. We find that …