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 distinct preferences over different 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 …

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 study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

the existence of such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng …'s G-Brownian motions. -- mutually singular priors ; uncertain volatility ; sublinear expectation ; viability of sublinear …

risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that …This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … aforementioned phenomenon where risk averse and competitive option market makers quote bid and ask prices to minimize their inventory …

We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing non … risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on …

almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance …