Systemic risk has drawn the attention of many researchers and financial institutions since the recent financial crisis. Popular systemic risk measures include CoVaR, CoES, MES and SRISK etc. However, there are only a few methods available on modeling these measures, and even less papers on...

This paper utilizes a unique database to investigate how trading activity affects risk-neutral-skewness (RNS), and how risk attitude affects the return predictability of RNS in China SSE 50ETF option market. We find that the individual investors’ option trading activities play a dominant role...

This paper utilizes a unique database to investigate how trading activity affects risk-neutral-skewness (RNS), and how risk attitude affects the return predictability of RNS in China SSE 50ETF option market. We find that the individual investors’ option trading activities play a dominant role...