Ammann, Manuel; Moerke, Mathis; Prokopczuk, Marcel; … - 2022
In this study, we investigate the cross-section of option implied tail risks in commodity markets. In contrast to … findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables … exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail …