ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)最新文献_第2页

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement 一致财务评估和风险度量的数据驱动框架

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-07-04 DOI: 10.2139/ssrn.3643527

Zhenyu Cui, J. Kirkby, D. Nguyen

{"title":"A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement","authors":"Zhenyu Cui, J. Kirkby, D. Nguyen","doi":"10.2139/ssrn.3643527","DOIUrl":"https://doi.org/10.2139/ssrn.3643527","url":null,"abstract":"Abstract In this paper, we propose a general data-driven framework that unifies the valuation and risk measurement of financial derivatives, which is especially useful in markets with thinly-traded derivatives. We first extract the empirical characteristic function from market-observable time series for the underlying asset prices, and then utilize Fourier techniques to obtain the physical nonparametric density and cumulative distribution function for the log-returns process, based on which we compute risk measures. Then we risk-neutralize the nonparametric density and distribution functions to model-independently valuate a variety of financial derivatives, including path-independent European options and path-dependent exotic contracts. By estimating the state-price density explicitly, and utilizing a convenient basis representation, we are able to greatly simplify the pricing of exotic options all within a consistent model-free framework. Numerical examples, and an empirical example using real market data (Brent crude oil prices) illustrate the accuracy and versatility of the proposed method in handling pricing and risk management of multiple financial contracts based solely on observable time series data.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117004326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 17

Does Momentum Trading Generate Extra Downside Risk? 动量交易是否会产生额外的下行风险?

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-06-29 DOI: 10.2139/ssrn.2399359

V. Dobrynskaya

引用次数: 3

Nonlinear Dynamics in Conditional Volatility 条件波动的非线性动力学

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-04-13 DOI: 10.2139/ssrn.3575458

Friedrich Lorenz, K. Schmedders, M. Schumacher

引用次数: 4

Contrasting the Information Demands of Equity- and Debt-Holders: Evidence From Pension Liabilities 股权持有人和债务持有人的信息需求对比:来自养老金负债的证据

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-04-08 DOI: 10.2139/ssrn.3765505

Divya Anantharaman, D. Henderson

引用次数: 5

Holistic Principle for Risk Aggregation and Capital Allocation 风险聚集与资本配置的整体原则

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-02-25 DOI: 10.2139/ssrn.3544525

W. F. Chong, Runhuan Feng, Longhao Jin

{"title":"Holistic Principle for Risk Aggregation and Capital Allocation","authors":"W. F. Chong, Runhuan Feng, Longhao Jin","doi":"10.2139/ssrn.3544525","DOIUrl":"https://doi.org/10.2139/ssrn.3544525","url":null,"abstract":"Risk aggregation and capital allocation are of paramount importance in business, as they play critical roles in pricing, risk management, project financing, performance management, regulatory supervision, etc. The state-of-the-art practice often includes two steps: (i) determine standalone capital requirements for individual business lines and aggregate them at a corporate level; and (ii) allocate the total capital back to individual lines of business or at more granular levels. There are three pitfalls with such a practice, namely, lack of consistency, negligence of cost of capital, and disentanglement of allocated capitals from standalone capitals. In this paper, we introduce a holistic approach that aims to strike a balance of optimality by taking into account competing interests of various stakeholders and conflicting priorities in a corporate hierarchy. While unconventional in its objective, the new approach results in an allocation of diversification benefit, which conforms to the diversification strategy of many risk management frameworks including regulatory capital and economic capital. The holistic capital setting and allocation principle provides a remedy to aforementioned problems with the existing two-step industry practice.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132363822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

Proxy-Hedging of Bitcoin Exposures With Altcoins 用山寨币对比特币风险进行代理对冲

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-02-25 DOI: 10.2139/ssrn.3569616

D. Guégan, Marius-Cristian Frunza, Rostislav Haliplii

引用次数: 0

Weighted Comonotonic Risk Sharing Under Heterogeneous Beliefs 异质信念下加权共单调风险分担

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-02-05 DOI: 10.2139/ssrn.3534323

Haiyan Liu

引用次数: 3

Extracting Tail Risk from High-Frequency S&P 500 Returns 从高频标普500回报中提取尾部风险

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-01-10 DOI: 10.2139/ssrn.3211954

Caio Almeida, K. Ardison, René Garcia, Piotr Orłowski

{"title":"Extracting Tail Risk from High-Frequency S&P 500 Returns","authors":"Caio Almeida, K. Ardison, René Garcia, Piotr Orłowski","doi":"10.2139/ssrn.3211954","DOIUrl":"https://doi.org/10.2139/ssrn.3211954","url":null,"abstract":"This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and relies solely on a stock index returns. This makes the measure methodology applicable to many financial markets with illiquid or nonexistent options. Empirically, the tail risk factor extracted from S&P 500 returns has a 90% correlation with the options-based VIX index and predicts well realized jumps in the stock market index at various frequencies. We document a persistent negative relation between tail risk and one-day ahead returns of several assets classes. Consistent with the crash-insurance property of put options, tail risk predicts positive one-day ahead returns for portfolios long out-of-the-money, short in-the-money put options. An analysis of equity portfolios sorted on exposure to tail risk reveals a premium for bearing such a risk, even after controlling for known and established factors related to cross-sectional variability. This cross-sectional analysis is robust to the inclusion of uncertainty indexes, as well as macroeconomic and volatility measures.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122605739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Cross-Sectional Dispersion of Risk in Trading Time 交易时间内风险的横截面分散

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2019-09-01 DOI: 10.3386/w26329

T. Andersen, Martin Thyrsgaard, V. Todorov

{"title":"Cross-Sectional Dispersion of Risk in Trading Time","authors":"T. Andersen, Martin Thyrsgaard, V. Todorov","doi":"10.3386/w26329","DOIUrl":"https://doi.org/10.3386/w26329","url":null,"abstract":"We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of the returns increasing to infinity, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity varies across the trading day. We further derive a functional CLT for the dispersion statistics, allowing us to test if the beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference techniques for the entire cross-sectional beta distribution at fixed points in time. We demonstrate, for constituents of the S&P 500 index, that the beta dispersion is elevated at the market open, gradually declines over the trading day, and is less than half the original value by the market close. The intraday beta dispersion pattern also changes over time and evolves differently on macroeconomic announcement days. Importantly, we find that the intraday variation in market betas is a source of priced risk.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127065651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

A Dynamic Contagion Risk Model With Recovery Features 具有恢复特征的动态传染风险模型

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2019-08-09 DOI: 10.2139/ssrn.3435257

H. Amini, Andreea Minca, A. Sulem

{"title":"A Dynamic Contagion Risk Model With Recovery Features","authors":"H. Amini, Andreea Minca, A. Sulem","doi":"10.2139/ssrn.3435257","DOIUrl":"https://doi.org/10.2139/ssrn.3435257","url":null,"abstract":"We introduce threshold growth in the classical threshold contagion model, or equivalently a network of Cramér-Lundberg processes in which nodes have downward jumps when there is a failure of a neighboring node. Choosing the configuration model as underlying graph, we prove fluid limits for the baseline model, as well as extensions to the directed case, state-dependent interarrival times and the case of growth driven by upward jumps. We obtain explicit ruin probabilities for the nodes according to their characteristics: initial threshold and in- (and out-) degree. We then allow nodes to choose their connectivity by trading off link benefits and contagion risk. We define a rational equilibrium concept in which nodes choose their connectivity according to an expected failure probability of any given link and then impose condition that the expected failure probability coincides with the actual failure probability under the optimal connectivity. We show existence of an asymptotic equilibrium and convergence of the sequence of equilibria on the finite networks. In particular, our results show that systems with higher overall growth may have higher failure probability in equilibrium.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126449401","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6