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Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...

Crousillat, Cesar - 2017

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

Persistent link: https://www.econbiz.de/10012962743

Mean-variance relationship and uncertainty

Kim, Jun Sik - In: Journal of derivatives and quantitative studies : … 30 (2022) 1, pp. 23-45

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

Persistent link: https://www.econbiz.de/10012887264

Countercyclical Fluctuations in Uncertainty are Endogenous

Bernstein, Joshua; Plante, Michael; Richter, Alexander W.; … - 2021

This paper uses a battery of calibrated and estimated structural models to determine the causal drivers of the negative correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while aggregate uncertainty endogenously responds to...

Persistent link: https://www.econbiz.de/10013219154

Endogenous Indeterminacy and Volatility of Asset Prices Under Ambiguity

Mandler, Michael - 2012

If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the...

Persistent link: https://www.econbiz.de/10013114388

The Effect of Uncertainty on Investment, Hiring, and R&D : Causal Evidence from Equity Options

Stein, Luke C.D. - 2014

There is wide debate over the impact of uncertainty on firm behavior, due to the difficulty both of measuring uncertainty and of identifying causality. This paper takes three steps that attempt to address these challenges. First, we develop an instrumental variables strategy that exploits firms'...

Persistent link: https://www.econbiz.de/10013069505

Explaining electricity forward premiums : evidence for the weather uncertainty effect

Obermüller, Frank - 2017

With the increasing share of volatile renewable energies, weather prediction becomes more important to electricity markets. The weather-driven uncertainty of renewable forecast errors could have price increasing impacts. This research sets up an analytic model to show that the day-ahead optimal...

Persistent link: https://www.econbiz.de/10011750347

Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions

Stock, Robert D. - 2020

single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …

Persistent link: https://www.econbiz.de/10012844430

Implied Volatility Duration : a measure for the timing of uncertainty resolution

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - 2020 - This version: January 27, 2020

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...

Persistent link: https://www.econbiz.de/10012157194

Tracking global economic uncertainty : implications for the euro area

Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...

Persistent link: https://www.econbiz.de/10012503567

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10012795039