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 …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

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

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 …

The recent literature provides conflicting empirical evidence on the pricing of idiosyncratic risk. This paper sheds … new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of … the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity …

about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX …). While the bivariate risk-neutral distribution cannot be inferred from the marginals, we propose a novel identification based … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market … and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …