underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk … commodities to hedge against commodity price risk. Broker-dealers play an important role in this hedging process because commodity …-pricing model where producers and consumers of commodities share risk with broker-dealers who are subject to funding constraints. In …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real …-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …