future climate risk regimes where weather extremes are becoming more frequent and intense. Using a stochastic dynamic …

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 …

discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …

credit prices. The methodological approach used financial econometrics to study these variables' risk and return …

indicated that investors are pricing current policies when examining climate risk and that, in this respect, the Paris agreement …