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Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021

We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...

Persistent link: https://www.econbiz.de/10012170744

Risk-neutral systemic risk indicators

Malz, Allan Martin - 2013

index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The …

Persistent link: https://www.econbiz.de/10009725591

No good deals - no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...

Persistent link: https://www.econbiz.de/10009679505

How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17

This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … measure for risk. The sensitivity of MaxVaR with respect to option characteristics like moneyness, time to maturity and risk … higher for stocks than the options and we can surmise that stock returns are more volatile than options. For robustness, the …

Persistent link: https://www.econbiz.de/10012293244

The long and short of it : the post-crisis corporate CDS market

Boyarchenko, Nina; Costello, Anna M.; Shachar, Or - 2019

The 2007-09 financial crisis highlighted the vulnerability of financial institutions linked by a complex web of credit default swap (CDS) contracts, sparking a wave of regulatory changes to the structure of the market. In this paper, we provide broad evidence on the evolution of the CDS market...

Persistent link: https://www.econbiz.de/10011975486

CoVaR

Adrian, Tobias (contributor); … - 2008

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR and the financial system’s VaR. From our...

Persistent link: https://www.econbiz.de/10003781783

Runs and flights to safety : are stablecoins the new money market funds?

Anadu, Kenechukwu; Azar, Pablo D.; Cipriani, Marco; … - 2023

Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to...

Persistent link: https://www.econbiz.de/10014391283

Technical analysis on the Bitcoin market : trading opportunities or investors' pitfall?

Resta, Marina; Pagnottoni, Paolo; De Giuli, Maria Elena - In: Risks : open access journal 8 (2020) 2/44, pp. 1-15

In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on a daily basis, during the period 1 January...

Persistent link: https://www.econbiz.de/10012292821

Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10012292914

Mean-variance optimization is a good choice, but for other reasons than you might think

Rigamonti, Andrea - In: Risks : open access journal 8 (2020) 1/29, pp. 1-16

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths and weaknesses of semivariance and how to...

Persistent link: https://www.econbiz.de/10012203653