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dc.contributor.author
Leiss, Matthias
dc.contributor.author
Nax, Heinrich
dc.date.accessioned
2020-11-05T13:48:32Z
dc.date.available
2017-06-12T17:00:40Z
dc.date.available
2020-11-05T13:48:32Z
dc.date.issued
2016-08-19
dc.identifier.other
10.2139/ssrn.2690476
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/123520
dc.description.abstract
Foster and Hart (2009) introduce an objective measure of the riskiness of an asset that implies a bound on how much of one’s wealth is ‘safe’ to invest in the asset while (a.s.) guaranteeing no-bankruptcy. In this study, we translate the Foster-Hart measure from static and abstract gambles to dynamic and applied finance using nonparametric estimation of risk-neutral densities from S&P 500 call and put option prices covering 2003 to 2013. The dynamics of the resulting ‘option-implied Foster-Hart bound’ are assessed in light of other well-known option-implied risk measures including value at risk, expected shortfall and risk-neutral volatility, as well as high moments of the densities and several industry measures. Rigorous variable selection reveals that the new measure is a significant predictor of (large) ahead-return downturns. Furthermore, it grasps more characteristics of the risk-neutral probability distributions in terms of moments than other measures and exhibits predictive consistency. The robustness of the risk-neutral density estimation is analyzed via Monte Carlo methods.
en_US
dc.language.iso
en
en_US
dc.publisher
Social Science Research Network
en_US
dc.subject
Risk measure
en_US
dc.subject
Risk dynamics
en_US
dc.subject
Risk-neutral densities
en_US
dc.subject
Value at risk
en_US
dc.subject
Expected shortfall
en_US
dc.title
Option-Implied Objective Measures of Market Risk
en_US
dc.type
Working Paper
ethz.journal.title
SSRN
ethz.pages.start
2690476
en_US
ethz.size
28 p.
en_US
ethz.code.jel
JEL - JEL::D - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D81 - Criteria for Decision-Making under Risk and Uncertainty
en_US
ethz.code.jel
JEL - JEL::D - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D84 - Expectations; Speculations
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G0 - General::G01 - Financial Crises
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G3 - Corporate Finance and Governance::G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
en_US
ethz.publication.place
Rochester, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.::03784 - Helbing, Dirk / Helbing, Dirk
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.::03784 - Helbing, Dirk / Helbing, Dirk
ethz.date.deposited
2017-06-12T17:00:53Z
ethz.source
ECIT
ethz.identifier.importid
imp593654ed509a730492
ethz.ecitpid
pub:185920
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-18T17:56:56Z
ethz.rosetta.lastUpdated
2021-02-15T20:14:00Z
ethz.rosetta.versionExported
true
ethz.COinS
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