equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility … model completed by liquidly traded options. Empirical market price of orthogonal risk and risk aversion surfaces as well as … their time series are obtained from traded option prices. It is found that implied risk aversion exhibits a smiling pattern …

the consumption-based capital asset pricing model (C-CAPM). Although the conditional covariances of returns with … consumption exhibit negative variation across size, they do not vary across the book-to-market ratio. Thus, the C-CAPM can capture … improves the fit of the C-CAPM, however. The value effect appears to be associated with book-to-market ratio as well as size …

options, such securities hedge against volatility risk and command lower volatility risk premia than the equities of value or … financially healthy firms. Conversely, corporate debt will tend to command large volatility risk premia, allowing the model to …This paper builds a real-options model of the firm with stochastic volatility to shed new light on the value premium …

-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …The empirical tests of traditional structural models of credit risk tend to indicate that such models have been … volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to …

Variance premium is studied under a discrete-time consumption-based equilibrium model, with two stochastic volatility …. The implication of the model is that variance premium term structure contains information about two underlying volatility …

risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … of these events. Using theory and simulations we study the implications of the imminent threat of climate change on … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

Building on recent work incorporating recovery risk into structural models we consider the Black-Cox model with an … added recovery risk driver. The recovery risk driver arises naturally in the context of imperfect information implicit in …, whereby the asset risk driver A_t defines the default trigger and the recovery risk driver R_t defines the …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different … that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate change …