Nonparametric risk management and implied risk aversion:
Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business condition...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1997
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6130 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business conditions. We propose a nonparametric VAR measure that incorporates economic valuation according to the state-price density associated with the underlying price processes. The state-price density yields VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is implied by the joint observations on the cross-section of option prices and time-series of underlying asset values. " |
| Physical Description: | 44 S. graph. Darst. |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:14:50Z |
| institution | BVB |
| language | English |
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| physical | 44 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser aut Nonparametric risk management and implied risk aversion Yacine Aït-Sahalia ; Andrew W. Lo Cambridge, Mass. 1997 44 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6130 Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business conditions. We propose a nonparametric VAR measure that incorporates economic valuation according to the state-price density associated with the underlying price processes. The state-price density yields VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is implied by the joint observations on the cross-section of option prices and time-series of underlying asset values. " Ökonometrisches Modell Equilibrium (Economics) Econometric models Risk management Econometric models Lo, Andrew W. 1960- Verfasser (DE-588)124791433 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6130 (DE-604)BV002801238 6130 http://papers.nber.org/papers/w6130.pdf kostenfrei Volltext |
| spellingShingle | Aït-Sahalia, Yacine Lo, Andrew W. 1960- Nonparametric risk management and implied risk aversion National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Equilibrium (Economics) Econometric models Risk management Econometric models |
| title | Nonparametric risk management and implied risk aversion |
| title_auth | Nonparametric risk management and implied risk aversion |
| title_exact_search | Nonparametric risk management and implied risk aversion |
| title_full | Nonparametric risk management and implied risk aversion Yacine Aït-Sahalia ; Andrew W. Lo |
| title_fullStr | Nonparametric risk management and implied risk aversion Yacine Aït-Sahalia ; Andrew W. Lo |
| title_full_unstemmed | Nonparametric risk management and implied risk aversion Yacine Aït-Sahalia ; Andrew W. Lo |
| title_short | Nonparametric risk management and implied risk aversion |
| title_sort | nonparametric risk management and implied risk aversion |
| topic | Ökonometrisches Modell Equilibrium (Economics) Econometric models Risk management Econometric models |
| topic_facet | Ökonometrisches Modell Equilibrium (Economics) Econometric models Risk management Econometric models |
| url | http://papers.nber.org/papers/w6130.pdf |
| volume_link | (DE-604)BV002801238 |
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