Séminaires de recherche

Real-Time Recovery of Tail Risks

Finance

Intervenant : Brian Weller
Kellogg

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.

Finance

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



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