Showing 1 - 3 of 3
In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company...
Persistent link: https://www.econbiz.de/10010226884
Persistent link: https://www.econbiz.de/10010467869
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the spillover effects between individual company value-at-risks and the...
Persistent link: https://www.econbiz.de/10013035421