We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

This paper investigates the informational content implied in the risk-neutral distribution of the VIX, a leading … barometer of economic uncertainty. We extract the risk-neutral distribution from VIX option prices over the sample period from … whether the information implied in the risk-neutral distribution has predictive power. The risk-neutral distribution …

, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …. These comovements generate large credit risk premia for investment grade firms, which helps address the "credit spread …

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

financial investors affect risk sharing and information discovery in commodity markets. We argue that financialization has …

exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …