Variance risk in commodity markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2017.05.003
Abstract: We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity… read more here.
Keywords: risk commodity; variance risk; variance swaps; commodity markets ... See more keywords
Asset Variance Risk Premium and Capital Structure
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109020000228
Abstract: Abstract This article investigates how the asset-return variance risk premium changes leverage. I find that the premium reduces leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance… read more here.
Keywords: variance; leverage; risk premium; asset ... See more keywords