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

2582

Downloads

357

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.

Capturing flexible correlations in multiple-discrete choice outcomes using copulas

International Journal of Research in Marketing (2018)

Kim Chul, Jun Duk Bin, and Park Sungho

2017-12-13

Zip Archive

113

187

7

Consumer power and choice deferral: The role of anticipated regret

International Journal of Research in Marketing (2017)

Mourali Mehdi, Yang Zhiyong, Pons Frank, and Hassay Derek

Time-Varying Risk Premium in Large Cross-Sectional Equity Data Set

Econometrica (2016)

Scaillet Olivier, Gagliardini Patrick, and Ossola Elisa

2017-09-14

Zip Archive

477

161

61

Nonparametric Instrumental Variables Estimation of Structural Quantile Effects

Econometrica (2012)

Scaillet Olivier and Gagliardini Patrick

2017-09-13

Zip Archive

375

174

13

Technical trading revisited: False discoveries, persistence tests, and transaction costs

Journal of Financial Economics (2012)

Bajgrowicz Pierre and Scaillet Olivier

2017-09-13

Zip Archive

366

163

93

Effects of market default risk on index option risk-neutral moments

Quantitative Finance (2015)

Andreou Panayiotis

An experience-utility explanation of the preference for larger assortments

International Journal of Research in Marketing (2017)

Aydinli Aylin , Gu Yangjie, and Tuan Pham Michel

Corporate social responsibility and product quality:Complements or substitutes?

International Journal of Research in Marketing (2017)

Banerjee Sumitro and Wathieu Luc

Empirical generalizations on the impact of stars on the economic success of movies

International Journal of Research in Marketing (2017)

Hofmann Julian, Clement Michel, Völckner Franziska, and Hennig-Thurau Thorsten

0 comment

Add comment

You need to log in to post a comment.