Risk neutral densities recovered from option prices can be used to infer market participants expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature on the subject, most studies do not address the likelihood of default....

The isograph methodology is developed here with associated distributions, indicators of inequality, additional results, and is implemented on 53 LIS countries (with an annex covering 655 LIS country-year samples). The gb2 and other classical distributions (FC, Dagum, SinghMaddala) are presented...

Popular price discovery measures in literature are based on the reduced form shocks. This paper introduces structural counterparts of these existing methods, and investigates the relationships among six different price discovery methods. Different methods generally lead to different results....

Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure its robustness to distributional uncertainty by...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test for detecting situations when such pairwise measures are inadequate and give incomplete results. This occurs when a significant portion of the multivariate dependence...

This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

The Tokyo Stock Exchange (TSE) is the fourth largest stock exchange in the world by aggregate market capitalization of its listed companies and largest in East Asia and Asia. It is of great importance for those in charge of managing risk to understand how its market index returns are...