can decelerate growth in the absence of any level shocks. In contrast to level risk, which is always welfare reducing for … a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When … calibrated to U.S. data, the model finds that the welfare cost of volatility risk is largely negligible under plausible model …

understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a … univariate or multivariate framework. To illustrate, successful market risk management requires the use of accurate risk measures … such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An …

explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate … realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I …

area as markets use Germany’s sovereign CDS as a hedge for systemic risk. Although most of the CDS changes for Germany …