Similar Search Results

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

Persistent link: https://www.econbiz.de/10012847804

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

Persistent link: https://www.econbiz.de/10012850911

How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

Persistent link: https://www.econbiz.de/10013406460

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...

Persistent link: https://www.econbiz.de/10012181922

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10012795039

Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility

Becherer, Dirk - 2018

for overly attractive reward-to-risk ratios are excluded, by restricting instantaneous Sharpe ratios for any market …

Persistent link: https://www.econbiz.de/10012934249

Mean-variance relationship and uncertainty

Kim, Jun Sik - In: Journal of derivatives and quantitative studies : … 30 (2022) 1, pp. 23-45

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

Persistent link: https://www.econbiz.de/10012887264

Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...

Crousillat, Cesar - 2017

This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

Persistent link: https://www.econbiz.de/10012962743

Tracking global economic uncertainty : implications for the euro area

Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...

Persistent link: https://www.econbiz.de/10012503567

Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions

Stock, Robert D. - 2020

single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …

Persistent link: https://www.econbiz.de/10012844430