Options-based systemic risk, financial distress, and macroeconomic downturns

被引：3

作者：

Bevilacqua, Mattia ^{[1
,2
]}

Tunaru, Radu ^{[3
]}

Vioto, Davide ^{[4
]}

机构：

[1] Univ Liverpool, Management Sch, Liverpool, England

[2] London Sch Econ, Syst Risk Ctr, London, England

[3] Univ Sussex, Brighton, England

[4] European Banking Author, Paris, France

来源：

JOURNAL OF FINANCIAL MARKETS | 2023年 / 65卷

基金：

英国经济与社会研究理事会;

关键词：

Systemic risk; Options prices; Financial distress; Macro-finance; Financial stability; CAPITAL SHORTFALL; STOCK; VOLATILITY; TESTS; PRICE; INSURANCE; VOLUME;

D O I：

10.1016/j.finmar.2023.100834

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk (SOVaR), from put option prices that can capture the buildup stage of systemic risk in the financial sector earlier than the standard systemic risk measures (SRMs). Our measure exhibits more timely early warning signals of main events around the global financial crisis than the main SRMs. SOVaR shows significant predictive power for macroeconomic downturns as well as future recessions up to one year ahead. Our results are robust to various specifications, breakdowns of financial sectors, and controlling for other main risk measures proposed in the literature.

引用

页数：35

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