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Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses : a Monte Carlo investigation

Varma, Jayanth Rama; Virmani, Vineet - In: The journal of financial market infrastructures 10 (2021) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013530785

The impact of COVID-19 on tail risk : evidence from Nifty index options

Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012607446

Role of derivatives market in attenuating underreaction to left-tail risk

Saurav, Sumit; Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama - In: The journal of futures markets 44 (2024) 3, pp. 484-517

Persistent link: https://www.econbiz.de/10014475505

Asymmetric Uncertainty Around Earnings Announcements Evidence from Options Markets

Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - 2022

We use the Indian stock options market to study the evolution of uncertainty and asymmetric uncertainty around earnings announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically before the EA day and decrease after EA....

Persistent link: https://www.econbiz.de/10014238511