Listagem por palavra-chave "Tail risk"
Itens para a visualização no momento 1-8 of 8
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Applications of nonlinear stochastic discount factors in performance analysis and tail risk
2018-04-12We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ... -
Essays on asset pricing and option valuation
2020-12-21Esta tese é composta por quatro ensaios sobre precificação de ativos e opções. O primeiro ensaio estuda a precificação de opções de índice no contexto de mercados incompletos. Um novo método é fornecido para construir ... -
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
2015-02-12This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ... -
Nonparametric tail risk, stock returns, and the macroeconomy
2016This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ... -
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
2017The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ... -
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
2017-05-25The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ... -
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
2016-03-21The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ... -
Tail risk in the hedge fund industry
2015-05-28The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors ...
