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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …
Persistent link: https://www.econbiz.de/10011940034
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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
We show that the slight possibility of a macroeconomic disaster of moderate magnitude can explain important features across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and volatility of credit spreads, generates a flexible credit term...
Persistent link: https://www.econbiz.de/10013109094
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Derivatives Mismarking Cases
Macey-Dare, Rupert - 2012
2009 and Montserret 2009. The behavioural, institutional, risk-reward and regulatory drivers of these cases are reviewed as …
Persistent link: https://www.econbiz.de/10013097744
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2015
we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during …
Persistent link: https://www.econbiz.de/10013038170
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2015
we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during …
Persistent link: https://www.econbiz.de/10013038266
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Distorting Arrow-Debreu Securities : New Entropy Restrictions Implied by the Option Cross Section
Chabi-Yo, Fousseni - 2020
Replacing equity return (as in the equity risk premium) with returns on an arbitrary contingent claim, we obtain a new … class of economic risk premiums to impose upon candidate models. These risk premiums reflect the distance between the … physical and risk-neutral moments for asset returns, can be estimated in a model-free fashion from the option cross section …
Persistent link: https://www.econbiz.de/10012844094
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What Option Prices Tell Us About the ECB's Unconventional Monetary Policies
Olijslagers, Stan - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …
Persistent link: https://www.econbiz.de/10012906936
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What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies
Olijslagers, Stan - 2019
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not instantly move asset markets or actually increases crash risk …
Persistent link: https://www.econbiz.de/10012888949
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The Probability Density Function of Interest Rates Implied in the Price of Options
Fornari, Fabio; Violi, Roberto - 2006
interest rate futures for the conduct of monetary policy in Italy, at times when significant regime shifts have occurred. Risk … seems encouraging; a significant degree of skewness (so-called risk-reversal), large changes over time and fatness of the … mounting inflationary risk induced by a large devaluation. We subsequently examine a recent sequence of monetary easings, which …
Persistent link: https://www.econbiz.de/10014058544
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Chapter 11 Intertemporal asset pricing theory
Duffie, Darrell - 2003
This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...
Persistent link: https://www.econbiz.de/10014023860