We analyse the equilibrium asset pricing implications for an economy with single period return exposures to explicit non-Gaussian systematic factors, that may be both skewed and long-tailed, and Gaussian idiosyncratic components. Investors maximize expected exponential utility and equilibrium...

The treatment of this article renders closed-form density approximation feasible for univariate continuous-time models. Implementation methodology depends directly on the parametric-form of the drift and the diffusion of the primitive process and not on its transformation to a unit-variance...

This paper provides a closed-form density approximation when the underlying state variable is a one-dimensional diffusion. Building on Ait-Sahalia (2002), we show that our refinement is applicable under a wide class of drift and diffusion functions. In addition, it facilitates the maximum...

This paper proposes and empirically investigates a family of credit risk models driven by a two-factor structure for the short-interest rate and an additional third factor for firm-specific distress, using the reduced-form framework of Duffie and Singleton (1999). The set of firm-specific...

In this article we will first describe a general procedure to decompose time-variation in Value-at-Risk from one reporting period to the next. Then, using standard methodology from the field of performance attribution, we analytically show how the new VaR Risk Attribution Model (RAM) ascribes...

In fixed income analysis it is known that the various measures of interest rate sensitivity (duration) yield approximate results. Even with the addition of concepts like convexity, the results remain approximations. This paper summarizes a new approach based on the fact that the time value of...

We find adverse-selection spread components increase sharply in the ratio of trade size to quoted depth, and spike when trade size equals quoted depth. We find two previously documented and prominent indicators of informed trading, raw trade size and high-trading-volume half-hours, offer almost...

This paper assesses the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. Our contribution to the fixed income VaR literature is twofold in terms of the chosen interest rate process, and the method (Principal Components...

Alternative investments, and especially hedge funds, often have 1) non-normally distributed returns and 2) attributes like thin trading or limited liquidity, both being characteristic to this class of investments. In this paper, I propose a higher moment-based distributional risk measure, termed...

The purpose of this study is to determine what firm-specific factors affect the risk of insurance companies. Traditional methods used to identify potential failures have been severely criticized. Thus, alternative approaches to risk assessment should be of interst to investors and managers of...