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Management Science, 2019
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.
Zhaogang Song +2 more
exaly +3 more sources
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.
Zhaogang Song +2 more
exaly +3 more sources
Journal of Economic Behavior & Organization, 2020
We study changes in expectations by incorporating tail risk in a Bayesian learning framework with information frictions. Using a signal extraction problem, we find that economic agents behave differently in the face of tail risk. First, under tail risk, uncertainty shocks lead to a decrease in expectations, which implies more pessimistic forecasts.
Yeow Hwee Chua, Zu Yao Hong
openaire +1 more source
We study changes in expectations by incorporating tail risk in a Bayesian learning framework with information frictions. Using a signal extraction problem, we find that economic agents behave differently in the face of tail risk. First, under tail risk, uncertainty shocks lead to a decrease in expectations, which implies more pessimistic forecasts.
Yeow Hwee Chua, Zu Yao Hong
openaire +1 more source
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 ...
Sun-Joong Yoon, Sangwon Suh
exaly +2 more sources
2004
This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the risk associated with the probability measure conditional ...
Carlos Pedro dos Santos Gonçalves +1 more
openaire +1 more source
This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the risk associated with the probability measure conditional ...
Carlos Pedro dos Santos Gonçalves +1 more
openaire +1 more source
A Theory for Measures of Tail Risk
Mathematics of Operations Research, 2016The notion of “tail risk” has been a crucial consideration in modern risk management and financial regulation, as very well documented in the recent regulatory documents. To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures that quantify the tail risk, that is, the behaviour of a risk beyond a ...
Fangda Liu, Ruodu Wang
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SSRN Electronic Journal, 2018
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
openaire +1 more source
Oil tail risk and the tail risk of the US Dollar exchange rates
Energy Economics, 2022This study tests both the in-sample and out-of-sample predictive value of oil tail risk for the tail risk of US Dollar exchange rates (USD/CAD, USD/GBP and USD/JPY), where the conditional autoregressive value at risk (CAViaR) of the Engle and Manganelli (2004) is used to estimate the tail risks under 1% and 5% VaRs.
Salisu, Afees A. +2 more
openaire +2 more sources
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
openaire +1 more source