Results 161 to 170 of about 6,316,556 (202)
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Tail risk and Flight-to-Safety
Journal of Asset Management, 2022Using information from equity and Treasury bond options, I propose a new Flight-to-Safety (FTS) regime-switching model with time-varying stock-bond correlation and regime-switching probabilities. I document that the inclusion of higher-order moments such as tail risks is crucial to capturing Flight-to-Safety.
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Stock market tail risk, tail risk premia, and return predictability
Journal of Futures Markets, 2021AbstractIn this study, we use the S&P 500 options prices to derive various tail risk indexes. We then decompose the option‐implied tail risk indexes into the conditional tail risk of stock returns and equity tail risk premia. We examine the predictive power of the conditional tail risks and equity tail risk premia for various stock portfolio ...
Sangwon Suh +2 more
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Management Science, 2015
We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures.
George P. Gao +2 more
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We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures.
George P. Gao +2 more
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Pacific-Basin Finance Journal, 2017
We examine the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and 2013. We decompose tail risks into those with respect to local and global market returns and find that both risks are independently priced. Due to the increased demand for hedging tail risks, the premia for both tail risks are positively related to globalization ...
Kuan-Hui Lee, Cheol-Won Yang
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We examine the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and 2013. We decompose tail risks into those with respect to local and global market returns and find that both risks are independently priced. Due to the increased demand for hedging tail risks, the premia for both tail risks are positively related to globalization ...
Kuan-Hui Lee, Cheol-Won Yang
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SSRN Electronic Journal, 2017
With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty’s credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty’s default. With an extreme value
Janis Müller, Peter N. Posch
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With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty’s credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty’s default. With an extreme value
Janis Müller, Peter N. Posch
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The Journal of Investing, 2014
For purposes of risk management, typically used returns distributions are asymptotic to zero, the most popular being the Gaussian and Power Functions. Yet, this asymptotic property of tail risk is relatively unexploited in thinking about the most vexing of managerial behaviors, the tendency to ignore the most threatening hazards facing the organization.
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For purposes of risk management, typically used returns distributions are asymptotic to zero, the most popular being the Gaussian and Power Functions. Yet, this asymptotic property of tail risk is relatively unexploited in thinking about the most vexing of managerial behaviors, the tendency to ignore the most threatening hazards facing the organization.
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Tail risk in energy portfolios
Energy Economics, 2013This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using different generalized hyperbolic conditional distributions and ...
Carlos G. Pedraz +2 more
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SSRN Electronic Journal, 2021
In this study we comprehensively investigate the usefulness of the tail risk measures proposed in the literature, evaluating the tail risk measures on the basis of their statistical and economic validity. Our main conclusion is that the option-implied measure of Bollerslev and Todorov (2011b) outperforms all others.
Maik Dierkes +3 more
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In this study we comprehensively investigate the usefulness of the tail risk measures proposed in the literature, evaluating the tail risk measures on the basis of their statistical and economic validity. Our main conclusion is that the option-implied measure of Bollerslev and Todorov (2011b) outperforms all others.
Maik Dierkes +3 more
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2020
La plupart des modèles de prévisions macroéconomiques ne tiennent pas compte du risque de crise, soit le risque d’une baisse marquée et soudaine du produit intérieur brut (PIB). Pourtant, les décideurs se préoccupent de ce type de risque extrême étant donné les coûts socioéconomiques substantiels qui en découleraient.
Duprey, Thibaut, Ueberfeldt, Alexander
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La plupart des modèles de prévisions macroéconomiques ne tiennent pas compte du risque de crise, soit le risque d’une baisse marquée et soudaine du produit intérieur brut (PIB). Pourtant, les décideurs se préoccupent de ce type de risque extrême étant donné les coûts socioéconomiques substantiels qui en découleraient.
Duprey, Thibaut, Ueberfeldt, Alexander
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Tail Risk in the Tail: Estimating High Quantiles When a Related Variable is Extreme
Journal of the American Statistical AssociationIn this article we address the problem of high quantile estimation conditional on a related variable being extreme. The problem set-up is of interest in a number applications to evaluate tail risk of a focal variable in the tail of a conditioning variable.
Natalia Nolde, Chen Zhou, Menglin Zhou
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