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Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...
VIX
VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It is calculated ...
Bloomberg
Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
Datastream
Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...
Kenneth French
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...
S&P500
The Standard and Poor's 500, or simply the S&P 500, is a free-float weighted measurement stock market index of 500 of the largest companies listed on stock exchanges in the United States.
BaFin
Die Bundesanstalt für Finanzdienstleistungsaufsicht (kurz: BaFin) ist eine rechtsfähige deutsche Anstalt des öffentlichen Rechts des Bundes mit Sitz in Frankfurt am Main und Bonn.
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...