Increasing risk: Dynamic mean-preserving spreads
نویسندگان
چکیده
منابع مشابه
Variance, Risk and Median Preserving Spreads∗
We say that one random variable dominates the other in the stochastic order if the covariance of any two monotone increasing functions of the first variable is larger than the covariance of the same functions of the second variable. We completely characterize this stochastic order, give strong sufficient conditions and numerous examples with concrete distributions. We show that this order is in...
متن کاملDynamic modeling of mean-reverting spreads for statistical arbitrage
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been proposed as a model for such spreads under the assumption that the observed process is a noisy realization of some hidden states. Real-time estimation of the unobs...
متن کاملCDS Spreads and Systemic Financial Risk∗
This paper investigates the information content of bond and Credit Default Swap prices of financial institutions for the measurement of systemic risk in the financial sector, defined as the probability that several institutions default. Because CDS contracts involve counterparty risk, this is reflected in their price, the spread paid to a dealer to insure against default. Then, the set of sprea...
متن کاملTime-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
!1 -0.030 0.004 0.017 -0.022 -0.005 -0.052 0.047 !2 -0.029 0.004 0.018 -0.022 -0.005 -0.048 0.043 !3 -0.029 0.004 0.016 -0.021 -0.005 -0.043 0.038 !4 -0.028 0.003 0.017 -0.023 -0.005 -0.047 0.042 !5 -0.028 0.004 0.016 -0.020 -0.005 -0.046 0.041 !6 -0.027 0.004 0.016 -0.020 -0.003 -0.044 0.040 !7 -0.026 0.003 0.016 -0.022 -0.004 -0.042 0.038 !8 -0.026 0.003 0.016 -0.020 -0.005 -0.043 0.038 !9 -0...
متن کاملIncreasing Symmetry Breaking by Preserving Target Symmetries
Breaking the exponential number of all symmetries of a constraint satisfaction problem is too costly. In practice, we often aim at breaking a subset of the symmetries efficiently, which we call target symmetries. In static symmetry breaking, the goal is to post a set of constraints to break these target symmetries in order to reduce the solution set and thus also the search space. Symmetries of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Economics
سال: 2020
ISSN: 0304-4068
DOI: 10.1016/j.jmateco.2018.11.003