in their business cycles relative to those of advanced economies. Information on the domestic price of risk, cost of …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

The 2008 credit crisis came as a complete surprise to most financial practitioners and academics. As risk models had … significant drop in the stock market, lower risk-free interest rates, and a strong increase in credit spreads. Second, the risk … is due to the changing importance of two sources: monetary shocks leading to a positive stock-bond correlation, and risk …