A New Framework To Estimate The Risk Neutral Probability Density Functions Embedded In Options Prices
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A New Framework To Estimate The Risk Neutral Probability Density Functions Embedded In Options Prices
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Author : Mr.Kevin C. Cheng
language : en
Publisher: International Monetary Fund
Release Date : 2010-08-01
A New Framework To Estimate The Risk Neutral Probability Density Functions Embedded In Options Prices written by Mr.Kevin C. Cheng and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08-01 with Business & Economics categories.
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra’s original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S&P 500, the dollar/euro exchange rate, and the US 10-year Treasury Note. Finally, a Monte Carlo study suggests that the multi-lognormal approach outperforms the double-lognormal approach.
Unconventional Monetary Policy And Asset Price Risk
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Author : Mr.Shaun K. Roache
language : en
Publisher: International Monetary Fund
Release Date : 2013-08-30
Unconventional Monetary Policy And Asset Price Risk written by Mr.Shaun K. Roache and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-30 with Business & Economics categories.
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail risk” diminishes in the immediate aftermath of UMP events, particularly downside left tail risk. We also find that QE1 and QE3 had stronger effects than QE2. We conclude that UMP events that serve to ease policies can help to bolster market confidence in times of high uncertainty.
Measures Of Fiscal Risk In Hydrocarbon Exporting Countries
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Author : Carlos Caceres
language : en
Publisher: International Monetary Fund
Release Date : 2012-10-30
Measures Of Fiscal Risk In Hydrocarbon Exporting Countries written by Carlos Caceres and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-30 with Business & Economics categories.
The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, medium-term risks remain high. Fiscal vulnerabilities have increased as a consequence of the substantial spending packages that have been implemented in recent years. This has raised break-even prices—that is, the price levels that ensure that fiscal accounts are in balance at a given level of spending—in these countries. This study analyses such risks and develops measures of fiscal risk stemming from oil price fluctuations. An empirical application to hydrocarbon-exporting countries from the Middle East and North Africa region is included. Additionally, it is noted that countries with large net assets and proven oil reserves are much less vulnerable to fiscal risk than is indicated by standard measures based on break-even prices.
Testing The Stability Of Implied Probability Density Functions
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Author : Robert R. Bliss
language : en
Publisher:
Release Date : 2000
Testing The Stability Of Implied Probability Density Functions written by Robert R. Bliss and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Derivative securities categories.
Recovering The Probability Density Function Of Asset Prices Using Garch As Diffusion Approximations
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Author : Fabio Fornari
language : en
Publisher:
Release Date : 2001
Recovering The Probability Density Function Of Asset Prices Using Garch As Diffusion Approximations written by Fabio Fornari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Investment analysis categories.
Imf Research Bulletin December 2010
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Author : International Monetary Fund. Research Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2010-12-01
Imf Research Bulletin December 2010 written by International Monetary Fund. Research Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-01 with Business & Economics categories.
The Q&A in this issue features seven questions about emerging markets and the financial crisis (by Ayhan Kose); the research summaries are "Tax Revenue Response to the Business Cycle" (by Cemile Sancak, Ricardo Velloso, and Jing Xing) and "Banking Crisis Resolution: Was this Time Different?" (by Luc Laeven and Fabian Valencia). The issue also lists the contents of the second issue of the IMF Economic Review, Volume 58 Number 2; visiting scholars at the IMF during October-December 2010; and recent IMF Working Papers and Staff Position Notes.
Risk Management Strategies In Public Private Partnerships
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Author : Obicci, Peter Adoko
language : en
Publisher: IGI Global
Release Date : 2017-03-03
Risk Management Strategies In Public Private Partnerships written by Obicci, Peter Adoko and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-03 with Business & Economics categories.
Governments around the globe are facing a new framework of service delivery as public-private partnerships become more prevalent. Characterized as an innovative tool for change, this area of socio-economic development is transforming the world economy. Risk Management Strategies in Public-Private Partnerships is an essential reference source for the latest scholarly research on recent developments on the relationships between public agencies and private sectors, and frameworks for effectively managing risk factors. Featuring extensive coverage on a wide variety of topics and perspectives such as service delivery, sustainability, and contractual design, this publication is ideally designed for policy makers, students, and professionals seeking current research on ways to manage problems and challenges in contractual partnerships.
Option Implied Risk Neutral Distributions And Risk Aversion
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Author : Jens Carsten Jackwerth
language : en
Publisher:
Release Date : 2008
Option Implied Risk Neutral Distributions And Risk Aversion written by Jens Carsten Jackwerth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Systemic Contingent Claims Analysis
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2013-02-27
Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-27 with Business & Economics categories.
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Measuring Systemic Risk Adjusted Liquidity Srl
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Author : Andreas Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-01
Measuring Systemic Risk Adjusted Liquidity Srl written by Andreas Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.
Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.