Hermite polynomials and test the model on S&P 500 index options. Restrictions on the prices of Hermite polynomial risk are … unrestricted four-parameter model results indicate skewness and excess kurtosis in the implied risk-neutral density. The skewness … of the risk-neutral density contrasts with the symmetry of the statistical density estimated using the Hermite model on …

set equal to the risk-free rate. This structure of contingent capital anchors its value to par throughout the time before …

We develop a DSGE model in which aggregate shocks induce endogenous movements in risk. The key feature of our model is … cash across accounts. We show that the model can account for the mean returns on equity and the risk-free rate, and … on equity prices through changes in risk. …