Narrow search
Showing 1 - 10 of 7,448
Cover Image
Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
Persistent link: https://www.econbiz.de/10012102573
Cover Image
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
Cover Image
Implied Volatility Duration : a measure for the timing of uncertainty resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger - 2020 - This version: January 27, 2020
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...
Persistent link: https://www.econbiz.de/10012157194
Cover Image
Systemic risk in the financial sector : what can we learn from option markets?
Kraft, Holger; Schmidt, Alexander - 2013 - Current version: July 12, 2013
In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …
Persistent link: https://www.econbiz.de/10010226884
Cover Image
Pricing Poseidon: extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2021
Persistent link: https://www.econbiz.de/10012807282
Cover Image
Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector
González-Pérez, María T. - 2021
Persistent link: https://www.econbiz.de/10012793105
Cover Image
Market-based monetary policy uncertainty
Bauer, Michael; Lakdawala, Aeimit; Mueller, Philippe - 2019
Persistent link: https://www.econbiz.de/10012057473
Cover Image
Cross-dynamics of volatility term structures implied by foreign exchange options
Krylova, Elizaveta; Nikkinen, Jussi; Vähämaa, Sami - 2005
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://www.econbiz.de/10011604576
Cover Image
Is the corporate bond market forward looking?
Hilscher, Jens - 2007
This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that corporate bond transaction prices contain substantial...
Persistent link: https://www.econbiz.de/10011604846
Cover Image
The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis
Pierdzioch, Christian - 2000
The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of...
Persistent link: https://www.econbiz.de/10010260625