We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

interest rate futures for the conduct of monetary policy in Italy, at times when significant regime shifts have occurred. Risk … seems encouraging; a significant degree of skewness (so-called risk-reversal), large changes over time and fatness of the … mounting inflationary risk induced by a large devaluation. We subsequently examine a recent sequence of monetary easings, which …

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

This paper investigates the informational content implied in the risk-neutral distribution of the VIX, a leading … barometer of economic uncertainty. We extract the risk-neutral distribution from VIX option prices over the sample period from … whether the information implied in the risk-neutral distribution has predictive power. The risk-neutral distribution …

exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

dimension of systemic risk and financial constraints as a key determinant of persistence. …

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

capturing jump contagion for risk management, option pricing, and scenario analysis. …