Séminaires de recherche

Real-Time Recovery of Tail Risks


Intervenant : Brian Weller

9 avril 2015

I develop a new methodology for estimating tail risks in real time using the cross-section of bid-ask spreads. Competitive market makers embed tail risk information into the spread because (1) stale quotes can only be picked o↵ for large price movements and (2) the magnitude of picking o↵ costs is linear in the size of jumps. Using this insight, simple cross-sectional regressions relating trading volume to spreads and factor exposures can recover instantaneous tail risks. This approach allows for estimation of risks for priced or non-priced return factors at arbitrarily high frequency without requiring directly traded factors. The recovered time series of implied market risks aligns closely with both realized market jumps and the VIX. In addition, the methodology correctly disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with FOMC announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash.


Intervenant : Xavier Gabaix

13 juin 2019 - T104 - De 14h00 à 15h15


Intervenant : Adriano Rampini

23 mai 2019 - T105 - De 14h00 à 15h15


Intervenant : Luke Taylor

16 mai 2019 - T105 - De 14h00 à 15h15


Intervenant : Jessica Jeffers

18 avril 2019 - T104 - De 14h00 à 15h15


Intervenant : Emil Verner

4 avril 2019 - T104 - De 14h00 à 15h15


Département Finance 

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex


Jean-Charles BERTRAND


Voir le CV

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”