We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov … expected returns. This study provides a mathematically complete decomposition of an index's total variance risk premium, and a … index's total variance risk premium. We illustrate that an index's total variance risk premium is due not only to changes in …

One of the fundamental requirements of investment management is the ability to assess risk and to adjust exposure to … control tail risk, the risk of larger than acceptable losses. Since the onset of the recent credit crisis, the effects of … widespread failure of standard techniques for tail risk management have been an almost daily feature in the financial news …

5 to 7 years, to study the nature of the link between credit risk and market risk, widely acknowledged in the academic …

In this article the authors attempt to get a better understanding of the cross-section of alternative risk premia using … a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several … questions: Is there enough diversification of risk in a global credit portfolio to allow for a good hedge? Is basis risk higher …

A productivity shock identified through a VAR is a priced risk factor for one-month industry momentum portfolios and … commands a positive risk premium. Stocks in winning industries have higher sensitivity to productivity news, thereby earning … pricing model with human wealth. In many specifications, the exposure to productivity risk captures more than half of the …

Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are … recalled. We show that short-selling risk affects prices among the cross-section of stocks. Stocks with more short-selling risk …

destruction affects risk, wealth, and prices. Overinvestment not only imposes excessive disruption risk on existing assets and … wealth). Because of hedging motives, wealth duration and uncertainty decrease systematic risk. If rent seeking and … competition are sufficiently high, a negative risk premium arises that resolves over time with learning. The model generates price …

While discussing risk issues someone told me as a joke that she wished the world were riskless and the fact that risk … necessity of risk. In this brief paper I provide an intuitive and straightforward explanation of the reason why a riskless world …

complex risks, equilibrium prices become more sensitive whereas risk allocations turn less sensitive to noise introduced by …