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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/153750

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153750

Title:	Crash risk and risk neutral densities
Authors:	謝沛霖 Hsieh, Pei-Lin;Chen, Ren-Raw;Huang, Jeffrey
Contributors:	財管系
Keywords:	European crisis;Subprime crisis;Tail risk;Risk neutral density;FX option
Date:	2018-06
Issue Date:	2024-09-11
Abstract:	“Crash risk” has been one of the major focuses in the recent asset pricing literature. Motivated by the recent literature that suggests an increase in crash risk since Fall 2008 and the recent troubles in the Euro zone, we use EUR/USD FX options for January 2, 2008 to March 18, 2015 to study option-implied risk-neutral densities (RND). We find that RND, especially higher moments, has superior explanatory power in predicting and explaining crash risk and its risk premiums. Furthermore, the higher moments of RND co-move closely with macroeconomic variables. Consistently, we find RND moments outperform the implied volatility from the Black–Scholes model.
Relation:	Journal of Empirical Finance, Vol.47, pp.162-189
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.jempfin.2018.03.006
DOI:	10.1016/j.jempfin.2018.03.006
Appears in Collections:	[財務管理學系] 期刊論文

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