risk. The second stylized fact is that long-term yields are dominated by a level factor, which requires persistence in the … specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain the … more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with …

is used to derive expected payments, dependent on idiosyncratic risk and unrelated to interest rates. The expectations … are used to define a measure of price sensitivity to credit risk perceptions, or credit duration, improving the ambiguity …

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In … innovation is the use of a set of predictors that account for variation in risk prices across (segmented) markets. These … competing methods (including those that assume homogeneous risk prices) when applied to domestic and international data -- a …

We combine high-frequency stock returns with risk-neutralization to extract the daily common component of tail risks … perceived by investors in the cross-section of firms. We find that our tail risk measure significantly predicts the equity … premium, variance risk premium and realized moments of market returns at short-horizons. Furthermore, a long-short portfolio …

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump risk …

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …