Implied Tail Risk and ESG Ratings

VaR–implied Tail–correlation Matrices

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail–correlation matrices based on Value–at–Risk (VaR) estimates. We demonstrate how to obtain more efficient tail–correlation estimates by use of overidentification strategies and how to guarantee positive semidefinit...

Nonparametric Risk Management and Implied Risk Aversion

Option-Implied Currency Risk Premia

We use cross-sectional information on the prices of G10 currency options to calibrate a non-Gaussian model of pricing kernel dynamics and construct estimates of conditional currency risk premia. We find that the mean historical returns to short dollar and carry factors (HMLFX ) are statistically indistinguishable from their option-implied counterparts, which are free from peso problems. Skewnes...

Municipal Bond Risk Ratings

Thesis Statement In recent years, the legitimacy of bond ratings given by top rating agencies has been under extreme scrutiny by the general public and the government. The faith and trust that the public puts into credit rating agencies such as Standard & Poor's, Moody's, and Fitch is based on the notion that they will publically assign unbiased risk ratings which truly reflect the creditworthi...

Methods of Representing Implied Author and Implied Reader in GavKhuni and its Film Adaptation

Implied author and implied reader are components of a narrative structure, playing a crucial role in illuminating hidden elements within a text. Therefore, studying these elements in literary works can expose the underlying layers of narration and open up new critical outlooks to the readers. Furthermore and in cases of cinematic adaptations, it explains whether this was the novel or the film t...