We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

We study whether prices of traded options contain information about future extreme market events. Our option … construct managed portfolios of a risk-free asset and market index. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward …-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …

risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain … increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … of growth are statistically independent, the discount rate is increasing with maturity if and only if the beta of the …

of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta … that the downside cash flow beta and downside discount rate beta carry the largest premia. We subject our result to an … extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples …

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from … structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum … likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which …

notion of a certainty equivalent beta. We show that its term structure is not constant and that, for short maturities, it … equals the expected beta. If the expected beta is larger than a threshold (which is negative and large in absolute value in … all realistic calibrations), the term structure of the certainty equivalent beta is increasing and tends to its largest …