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 …

interest rate futures for the conduct of monetary policy in Italy, at times when significant regime shifts have occurred. Risk … seems encouraging; a significant degree of skewness (so-called risk-reversal), large changes over time and fatness of the … mounting inflationary risk induced by a large devaluation. We subsequently examine a recent sequence of monetary easings, which …

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 …

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 instantly move asset markets or actually increases crash risk …

2009 and Montserret 2009. The behavioural, institutional, risk-reward and regulatory drivers of these cases are reviewed as …

Replacing equity return (as in the equity risk premium) with returns on an arbitrary contingent claim, we obtain a new … class of economic risk premiums to impose upon candidate models. These risk premiums reflect the distance between the … physical and risk-neutral moments for asset returns, can be estimated in a model-free fashion from the option cross section …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

We propose a new predictor of real economic activity (REA), namely the representative investor's implied relative risk … increases as risk averse investors enter the market, leading to a decrease in market risk premium thus predicting a REA …