Forecasting financial crises has enormous practical importance. In this paper we propose a new measure of risk of extreme loss using data of a cross-section of asset prices. This measure presents as practical advantage the fact that it does not depend on the existence of a liquid market of...

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a...

The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close to the money options. In this article we test the SVFPS model using...