In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …

We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted … find that higher risk-neutral moments can be statistically forecasted. However, only the one-day-ahead skewness forecasts … implications for the dynamics of implied volatility surfaces …

We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted … find that higher risk-neutral moments can be statistically forecasted. However, only the one-day-ahead skewness forecasts … implications for the dynamics of implied volatility surfaces …

average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern … translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation …

considerable effect on option prices. We show that the value of the stock option increases with the volatility of the interest rate …