We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that … the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options … investors are willing to pay a cost to avoid volatility risk. Second, volatility risk is priced mainly at short maturities …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter …, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives … investors' risk attitudes, including possibly different preferences over specific volatility-related aspects of the returns …

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …

yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll …) timely hedging strategy removes the extreme negative tail risk and reduces the negative skewness in exchange for slightly …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …This paper presents predictability evidence of the implied-expected variance difference, or variance risk premium, for … financial market risk premia: (1) the variance difference measure predicts a positive risk premium across equity, bond, currency …

This paper reviews the predictability evidence of the variance risk premium: (1) it predicts significant positive risk … are discussed for generating these stylized facts about the variance risk premium, which has broad implications for …

before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …