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Mathieu FOURNIER (HEC Montréal) “Conditional Risk Premia in the Cross-Section of Option Returns”

January 28, 4:00 pm - 5:00 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 16:00
Date: 28th of January 2021
Place: Zoom

Mathieu FOURNIER (HEC Montréal) “Conditional Risk Premia in the Cross-Section of Option Returns”

Abstract :We develop a factor model of option returns to study conditional risk premia. Option exposures are modeled nonparametrically and factor risk premia may vary non-linearly with states. The model allows to estimate risk premia and exposures with minimal assumptions about factor or option return dynamics using simple regressions. To illustrate the value of our approach, we estimate the model on index options. The model explains expected option returns well and its hedging performance is impressive. Conditional risk premia behave as expected and spike during crises. We show that option returns embed valuable information about risk premia including the equity premium.

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
January 28
Time:
4:00 pm - 5:00 pm
Event Categories:
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Venue