This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative … data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional …

period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and … economically very large. The variance risk premium cannot be explained by the known risk factors and option returns …

attractive risk-adjusted returns than a static-weight approach. However, the above-cited research has been mostly silent on the … explores this question. It finds that such a dynamic approach would have produced higher absolute returns, and higher risk …

spread of bonds of similar risk but different currency denomination. These two pricing anomalies are highly aligned in both …

. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit … default swap spread returns to the concept of 4CoVaR suggested by Adrian and Brunnermeier (2011). The interconnection and … both methodologies tend to overestimate risk in turbulent period. Further, non-linear effects between CDS spreads in …

Investors have to be offered risk premiums to invest in risky assets. These risk premiums take different forms in … different asset markets: equity risk premiums (ERP) in stock markets, default spreads in bond markets and real asset premiums in … economy, the risk aversion of investors, information uncertainty and fear of catastrophe, among other factors. In practice …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …