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SUMMARY:Measuring Tail Risks in Real Time
DTSTART:20151030T103000
DTEND:20151030T120000
DTSTAMP:20260407T002647Z
UID:9cc47305d8fcc318f7ad01d2df95866bdf9f8952728f11146f875481
CATEGORIES:Conferences - Seminars
DESCRIPTION:Brian WELLER (Northwestern Kellogg)\nI develop a new methodolo
 gy for measuring expected tail risks using the cross section of bidask spr
 eads. Market makers embed tail risk information into spreads\, because (1)
  middlemen lose to arbitrageurs when sharp price movements exceed the cost
  of liquidity and (2) price movements and potential costs are linear in fa
 ctor loadings. Using this insight\, simple crosssectional regressions rela
 ting spreads and trading volume to factor betas can recover factor tail ri
 sks in real time for priced or non-priced return factors. The recovered ti
 me series of implied market risks aligns closely with both realized market
  jumps and the VIX. In addition\, the methodology quantifies a sharp\, tem
 porary increase in market tail risk before and throughout the 2010 Flash C
 rash\; anticipates jump risks associated with Federal Open Market Committe
 e announcements\; and disentangles financial and aggregate market risks du
 ring the 2007–2008 Financial Crisis.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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