The economic and political developments of the past years show an increasing importance of a possible risk-reducing of the company due to good ESG performance. Our work contributes by examining the impact of relatively better ESG performance of companies on their implied and historical share...

The economic and political developments of the past years show an increasing importance of a possible risk-reducing of the company due to good ESG performance. Our work contributes by examining the impact of relatively better ESG performance of companies on their implied and historical share...

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

The most important advantage of the option transactions resides in the fact that it offers, through the existing relations between the derivatives market and the spot market, improved solutions of portfolio management, the put options constituting an insurance policy against the decrease of the...

Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially with regard to analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and...