equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

-implied and statistical density functions to gain insight into deflation risk. Inflation expectations show a decreasing mean but …

monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …

structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads … investor sentiment is high and when the systematic jump risk is low. In the cross section, we confirm that firm-level cash flow … Zeitverlauf bei wirtschaftlicher Expansion niedriger und bei wirtschaftlicher Rezession höher sind. Wenn das Wirtschaftswachstum …

risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Oil futures … aggregate outcomes. However, the option-implied tail risk premia are not spanned by traditional macroeconomic and oil market …

This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and … the mean equity premium, equity volatility, and the mean risk-free rate in the data. We find that about 96 percent of the …

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …