relative risk aversion. This last result occurs because taste shocks reproduce the large observed equity premium by shifting … weight away from consumption risk in favor to taste risk. <P> Cette étude vise à expliquer les primes associées aux titres …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an … anticipated increase in variance) has more impact on returns than a negative variance risk premium. …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …

' perceptions of risk increase (as measured by both conditional volatility of returns and implied volatility on Standard &Poor's 500 …

The stochastic mathematical model of the credit risk process is examined. It is assumed that in unstable economic … condition of default may be a cause for credit risk. The fund value of the crediting is considered as some random variable that … random variables are independent the expected risk of crediting for a single loan is found. On base of the expected risk …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

-run (LRR) consumption risk. In our preliminary empirical analysis, we find that SRR varies with the business cycle and it has a … also differs significantly from zero, and value stocks have a larger exposure to both LRR and SRR than growth stocks. To …