Anders Vilhelmsson

Lund University - Department of Economics

Lund

Sweden

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 19,631

SSRN RANKINGS

Top 19,631

in Total Papers Downloads

2,632

SSRN CITATIONS
Rank 34,042

SSRN RANKINGS

Top 34,042

in Total Papers Citations

7

CROSSREF CITATIONS

13

Scholarly Papers (17)

Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns

Number of pages: 42 Posted: 24 Oct 2007 Last Revised: 05 Mar 2008
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics
Downloads 907 (26,612)
Citation 2

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asset pricing, volatility risk premium, risk aversion, habit formation, momentum

Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns

Financial Review, Vol. 45, Issue 4, pp. 1079-1100, November 2010
Number of pages: 22 Posted: 13 Oct 2010
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics
Downloads 2 (713,020)
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The Investor-Base Hypothesis of Stock Return Volatility: Empirical Evidence

Number of pages: 36 Posted: 02 Jun 2016
Håkan Jankensgård and Anders Vilhelmsson
Lund University - Department of Business Administration and Lund University - Department of Economics
Downloads 227 (144,189)

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Volatility, ownership, investor base, portfolio concentration

The Investor-Base Hypothesis of Stock Return Volatility: Empirical Evidence

Number of pages: 36 Posted: 28 Apr 2015 Last Revised: 02 Jun 2016
Håkan Jankensgård and Anders Vilhelmsson
Lund University - Department of Business Administration and Lund University - Department of Economics
Downloads 96 (293,464)
Citation 1

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Volatility, ownership, investor base, portfolio concentration

3.

The Pernicious Effects of Contaminated Data in Risk Management

Number of pages: 43 Posted: 15 Jan 2010 Last Revised: 14 Mar 2013
Laurent Frésard, Christophe Perignon and Anders Vilhelmsson
University of Lugano, HEC Paris - Finance Department and Lund University - Department of Economics
Downloads 292 (111,787)
Citation 1

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Regulatory capital, proprietary trading, backtesting, value-at-risk, profit-and-loss

4.

Predicting Default – Merton vs. Leland

Number of pages: 23 Posted: 10 Feb 2017
Jens Forssbæck and Anders Vilhelmsson
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 244 (134,793)
Citation 3

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Default prediction, Distance to default, Credit risk, Merton model, Leland model

Enterprise Risk Management and Default Risk: Evidence from the Banking Industry

Journal of Risk and Insurance, Forthcoming
Number of pages: 44 Posted: 14 Apr 2016
Sara Lundqvist and Anders Vilhelmsson
Gothenburg University, School of Business, Economics, and Law and Lund University - Department of Economics
Downloads 189 (171,558)

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Risk management, Credit risk, Enterprise risk management, Corporate governance, Credit rating

6.

Non-Parametric Future Looking Value-at-Risk

Number of pages: 15 Posted: 05 Feb 2011 Last Revised: 27 Feb 2011
Anders Vilhelmsson and Marcus Nossman
Lund University - Department of Economics and Lund University
Downloads 163 (195,448)

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Value-at-Risk, Non-Parametric, Implicit Volatility, VIX

7.

Density Forecasting with Time Varying Higher Moments - A Model Confidence Set Approach

Number of pages: 30 Posted: 28 Feb 2011
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 105 (274,440)

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Density forecasting, model confidence set, GARCH

8.

Systemic Risk and Centrality Revisited: The Role of Interactions

Number of pages: 37 Posted: 01 May 2017 Last Revised: 04 Mar 2019
Hossein Asgharian, Dominika Krygier and Anders Vilhelmsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 98 (287,464)

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Systemic Risk, Network Centrality, Loan Syndication, CoVaR

9.

Macro News and Long-Run Volatility Expectations

Number of pages: 34 Posted: 31 Dec 2019
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 81 (323,858)

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implied volatility, macro announcements, news, volatility, fomc

10.

Risk Premia: Exact Solutions vs. Log-Linear Approximations

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 28 Jun 2012 Last Revised: 29 Jul 2013
Frederik Lundtofte and Anders Vilhelmsson
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 78 (331,039)
Citation 2

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log-linear approximations, equity premium puzzle, cumulants, NIG distribution, long-run risk

11.

Loan Pricing over the Business Cycle

Number of pages: 70 Posted: 10 Feb 2017
Jens Forssbæck, Frederik Lundtofte and Anders Vilhelmsson
Lund University - Department of Economics, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 46 (429,311)

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Business Cycles, Loan Pricing, Screening, Default Risk

12.

GARCH Forecasting Performance Under Different Distribution Assumptions

Journal of Forecasting, pp. 561-578. Wiley, 2006
Number of pages: 45 Posted: 30 Apr 2016
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 38 (461,657)

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volatility forecasts; GARCH; intra-day data; realized volatility

13.

Does the 'Foreignness' of Bank Loans Matter? Evidence from a New Dataset

Number of pages: 36 Posted: 03 Dec 2018
Lund University - Department of Economics, Lund University - Department of Economics, University of Glasgow - Adam Smith Business School and Lund University - Department of Economics
Downloads 36 (470,377)
Citation 1

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cross-border lending, syndicated loans

14.

Foreign and Domestic Loans over the Business Cycle

Number of pages: 41 Posted: 27 Mar 2019 Last Revised: 13 Feb 2020
Lund University - Department of Economics, Lund University - Department of Economics, University of Glasgow - Adam Smith Business School and Lund University - Department of Economics
Downloads 28 (509,659)

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foreign banks, cross-border loans, business cycles

15.

Value at Risk with Time Varying Variance, Skewness and Kurtosisthe NIG-ACD Model

Econometrics Journal, Vol. 12, Issue 1, pp. 82-104, March 2009
Number of pages: 23 Posted: 27 Apr 2009
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 2 (681,165)
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16.

Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/JAI.2009.12.2.054
Posted: 22 May 2019
Marcus Nossman and Anders Vilhelmsson
Lund University and Lund University - Department of Economics

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Expectation hypothesis, Futures, Implicit volatility, VIX

17.
Downloads 0 (711,319)

Measuring Event Risk

Journal of Financial Econometrics, Forthcoming
Posted: 26 Aug 2008 Last Revised: 13 Apr 2016
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics

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Value-at-Risk, Event Risk, NIG distribution, Jumps

Measuring Event Risk

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 265-287, 2009
Posted: 30 Jun 2009
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics

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C22, G21, G28, event risk, jumps, NIG distribution, Value-at-Risk