Risk-off, volatility, and implied correlations
Forecast performance of implied volatility and the impact of the volatility risk premium
... Forecasting volatility has received a great deal of research attention, with the relative performance of econometric models based on time-series data and option implied volatility forecasts often ...
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The information content of implied volatility indexes for forecasting volatility and market risk
... based volatility forecasts when these forecasts are used to quantify short-term market ...Value-at- Risk framework which provides, at a given percentage level, the most likely loss for a financial ...the ...
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The Impact of Credit Risk and Implied Volatility on Stock Returns
... derivative implied factors (RMU and VMC) as well as the market return (RM), it becomes evident that the CDS spread as well as the implied volatility are indeed helpful in explaining stock ...credit ...
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Using CAViaR models with implied volatility for value-at-risk estimation
... with Implied Volatility for Value at Risk Estimation Abstract This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series ...
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Implied volatility and risk aversion in a simple model with uncertain growth
... in implied volatility and risk aversion that are similar to those observed empirically, ...in implied volatilities, smiles in implied risk aversions, and negative values on ...
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Corridor implied volatility and the variance risk premium in the Italian market
... Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the ...
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The pricing of idiosyncratic risk: evidence from the implied volatility distribution
... return volatility vector, as well as dif- ferent estimators for the correlation ...speaking, volatility estimators can be grouped into estimators based on historical time-series observations or ...
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Jump Risk, Stock Returns, and Slope of Implied. Volatility Smile
... First, these options are hypothetical - they are interpolated from observed option contracts. Second, even for non-dividend-paying stocks, the strike prices of put option with ∆ = −0.5 and call option with ∆ = 0.5 are ...
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Implied Volatility for FixedResets
... the volatility of the Market Reset Spread as input by the ...the risk-free rate that is of great importance in the Black-Scholes formulation and here again I have made a design decision that some may ...
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Credit Implied Volatility
... PRELIMINARY AND INCOMPLETE Abstract We introduce the concept of a credit implied volatility surface. It is inverted from the CDS spread to provides a relative measure of CDS value across “moneyness” ...
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The implied volatility smirk
... negative risk-neutral skewness in the short term, simply because the model is based on a pure ...parameters implied in the CEV model from Proposition ...
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Implied volatility measures
... the volatility. In volatility products, price level effects are eliminated and we are only exposed on changes in the volatil- ity (more applications for volatility products can be found for example ...
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the basics of Implied Volatility
... all risk. For example, the magnitude of the implied volatility move is difficult to predict and therefore an investment may not fully offset any losses in the equity ...any volatility related ...
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Nail In The Coffin What is Implied by Implied Volatility?
... model risk. And the model proposed by Ahmad and Wilmott is that volatility shall be con- stant (instead of stochastic, as in the first example), only different from what is used for ...modeled ...
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Credit-implied forward volatility and volatility expectations
... 5. Data Our data set contains CDS spreads, stock prices and leverage ratios for the firms in the DJIA index from January 1, 2006 to September 30, 2010. 2 , 3 The CDS data is available for constant maturities of n years ...
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Modeling the evolution of implied CDO correlations
... explain implied correla- tions and tranche spreads in the context of a regression ...Intuitively, implied correlations represent the market’s view of the dependence among the firms in a credit ...
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How To Model Implied Volatility From Options, Implied Volatility, And The Student T Distribution
... the implied risk-neutral distribution function from European-style ...or implied tree models, and has a lower computation time than most other ...
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Dynamics of implied volatility surfaces
... local volatility function or implied tree—may calibrate well the strike profile and term structure of options on a given day, the same model parameters might give a poor fit at the next date, creating the ...
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Multiplicative Models for Implied Volatility
... Reliable volatility forecasts can greatly benefit professional option traders, market mak- ers who need to price derivatives, and all investors with risk management ...concerns. Implied volatilities, ...
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Forecasting Implied Volatility Surfaces
... and risk managers rely on IV to calibrate their pricing ...instantaneous volatility under the risk-neutral measure is defined as the local ...
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