downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … swap, the skew swap corresponds to a trading strategy, necessary to assess risk premia in a model-free way. We find that … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing …

The role of market jump risk premium implicit in individual equity options has not been examined to date. This paper …. We estimate the model on a large cross section of equity returns and options. We find that market jump risk embedded in … market jump and diffusive risk premia affect equity option prices differently. Firms with a larger return compensation for …

volatility terms. We derive theoretically the underlying assets' risk-neutral distributions, and we estimate the parameters of … idiosyncratic volatility risk, which turns out to be significantly different from zero for all the stocks in our sample. We … construct portfolios that only load on the idiosyncratic variance, and we propose a measure of idiosyncratic variance risk …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … securities during the period 1999–2005. We find that discrete jumps contribute between 15% and 25% of total asset risk for all … equity index futures, and between 45% and 75% of total risk for Treasury bond futures. Jumps occur roughly once every five …