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【With the same tag:【tail risk】 Found 2 articles】 /Page Order by: Asce Desc

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| F832.5

Research on the Risk Information Contained in the Shape of Implied Volatility Smile of SSE 50ETF Options

Ni Zhongxin, Guo Jing, Wang Linyu

We mainly use the methods of linear regression, factor beta-based portfolio sorting, and Fama-Macbeth regression to study the different risk significance of the implied volatility smile sh...

First published at: Apr 01, 2020

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doi:10.16538/j.cnki.jfe.2020.04.011

Journal of Finance and Economics, Vol. 46, Issue 04, pp. 155 - 168,封三

| F830.91;F830.99

Backtesting Expected Shortfall:Accounting for Tail Risk

Du Zaichao, Juan Carlos Escanciano

The Basel Committee on Banking Supervision(BIS)has recently sanctioned Expected Shortfall(ES)as the market risk measure to be used for banking regulatory purposes, replacing the well-known...

First published at: Dec 03, 2017

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doi:10.16538/j.cnki.jfe.2017.12.006

Journal of Finance and Economics, Vol. 43, Issue 12, pp. 74 - 99

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