This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is...

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onward when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...

We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, following Natoli and...

In this note we derive a modified backward automatic differentiation (a.k.a. adjoint automatic differentiation, adjoint algorithmic differentiation) for algorithms containing conditional expectation operators and/or indicator functions. Bermudan option and xVA valuation are prototypical...

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

In this paper, we present a method for the accurate estimation of the derivative (aka. sensitivity) of expectations of functions involving an indicator function by combining a stochastic algorithmic differentiation and a regression.The method is an improvement of the approach presented in [Risk...

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is...

Collective pension contracts can generate advantages for their participants by implementing forms of risk sharing. To ensure the continuity of a collective scheme, it has to be monitored whether the contracts offered to participants are financially fair in terms of their market value. When risk...

This paper investigates the informational content implied in the risk-neutral distribution of the VIX, a leading barometer of economic uncertainty. We extract the risk-neutral distribution from VIX option prices over the sample period from 2006 to 2011 using a non-parametric approach. We analyze...