Implied Risk Exposures

By Perignon Christophe, Hurlin Christophe, and Benoit Sylvain
Review of Finance (2014)

  • Christophe Perignon

    HEC Paris

    France

  • Sylvain Benoit

    Université Paris-Dauphine

    France

  • Christophe Hurlin

    University of Orléans

    France

Created

September 17, 2014

Last update

October 18, 2014

Software

Matlab

Ranking

35

Visits

3123

Downloads

398

Description

These Matlab and STATA codes permit to implement the Factor Implied Risk Exposures (FIRE) methodology. Raw data on market volatilities and banks' VaRs as well as their transformations required for the regressions are provided in order to highlight (1) the standard positive correlation between VaR and volatility, (2) the negative correlation between banks' risk exposures and volatility, and (3) the positive correlation in risk exposures across banks.

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