基于期权的系统性风险、金融困境和宏观经济衰退

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-09-01 DOI:10.1016/j.finmar.2023.100834

Mattia Bevilacqua , Radu Tunaru , Davide Vioto

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引用次数: 0

摘要

我们从看跌期权价格中提取了系统风险的期权隐含度量，即系统期权风险价值（SOVaR），该价格可以比标准系统风险度量更早地捕捉金融部门系统风险的积累阶段。与主要SRM相比，我们的措施对全球金融危机的主要事件显示出更及时的预警信号。SOVaR对宏观经济衰退以及未来一年的衰退显示出显著的预测能力。我们的结果对各种规范、金融部门的细分以及文献中提出的其他主要风险措施的控制都是稳健的。

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Options-based systemic risk, financial distress, and macroeconomic downturns

We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk (SOVaR), from put option prices that can capture the buildup stage of systemic risk in the financial sector earlier than the standard systemic risk measures (SRMs). Our measure exhibits more timely early warning signals of main events around the global financial crisis than the main SRMs. SOVaR shows significant predictive power for macroeconomic downturns as well as future recessions up to one year ahead. Our results are robust to various specifications, breakdowns of financial sectors, and controlling for other main risk measures proposed in the literature.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.