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德克萨斯大学奥斯汀分校麦库姆斯商学院Prof. Ehud Ronn特邀讲座

发布时间: 2019/06/26 10:58:59     点击次数:次   打印本页

【特邀讲座】

讲座题目:“Using Equity, Index and Commodity Options to Obtain Forward-Looking Measures of Equity and Commodity Betas, and Idiosyncratic Variance

主讲人:Prof. Ehud Ronn, McCombs School of Business, University of Texas at Austin

时间:2019年6月29日(星期六),10:00-11:30

教室:新主楼A座622

邀请人:范英

讲座内容:

Defining forward-looking betas and forward-looking idiosyncratic variance as perturbations of historical estimates, we use the market prices of equity and index options under a single-factor market model to compute forward-looking term structures of equity betas and idiosyncratic variance.

Using options on oil companies equities, we are able to discern the market’s perceptions regarding these oil companies’ prospective beta, and hence signaling their future sensitivity to market changes. In turn, the prospective fraction of idiosyncratic variance relative to total variance provides a forward-looking market measure for onset of crises, when idiosyncratic risk fades relative to systematic, and complementing the information conveyed by VIX and the CBOE's equity implied correlation.

Extending the one-factor model to a two-factor one, consider again the perturbations to historical idiosyncratic variance. We are able to confirm the forward-looking two-factor idiosyncratic variance is positively correlated with its one-factor analogue. Together, both of these forward-looking idiosyncratic variances constitute a prospective indicator of a crisis, and the emergence from one, when using VIX and the implied correlation ICJ as benchmarks.