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SUMMARY:Fear Trading
DTSTART:20150512T120000
DTEND:20150512T130000
DTSTAMP:20260407T212726Z
UID:2ccc7d4b0e2e4826d971d7dd2e60422bcab8276ed85efd11941ec143
CATEGORIES:Conferences - Seminars
DESCRIPTION:Paul SCHNEIDER (Università della Svizzera Italiana)\nWe intro
 duce a new class of swap trading strategies in incomplete markets\, which 
 disaggregate the tradeable compensation for time-varying nonlinear risks i
 n aggregate market returns. While the price of Hellinger variance\, a trad
 eable put-call symmetric measure of variance\, has a leading contribution 
 to the VIX volatility index\, the higher-order contribution to the VIX is 
 comprehensively captured by the price of tradeable skewness and kurtosis. 
 Risk premia for trading Hellinger variance\, skewness and kurtosis do not 
 vanish after transaction costs and are all linked to non-tradeable indices
  of fear. Skew swaps appear as the most appropriate vehicles for trading f
 ear and disaster risk\, as they are best spanned by non-tradeable indices 
 of fear and consistently price market skewness benchmarked to put-call sym
 metry.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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