We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty …

the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …

using historical data on European financial stocks that forecasts portfolio Value at Risk (VaR) and Expected Shortfall (ES). …