Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
| 主讲人 |
Sophie Xiaoyan Ni |
简介 |
<p>We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk exposures. Using a unique dataset for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option trading during such periods. We show that a tightening of intermediary constraint according to our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding liquidity, and deleveraging of broker-dealers.</p> |
| 时间 |
2016-05-09(Monday)16:40-18:00 |
地点 |
N303, Econ Building |
| 讲座语言 |
English |
主办单位 |
WISE & SOE |
| 承办单位 |
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类型 |
系列讲座 |
| 联系人信息 |
|
主持人 |
Peilin Hsieh |
| 专题网站 |
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专题 |
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| 主讲人简介 |
<p>Assistant Professor of Finance, HKUST</p>
<p><a href="/Upload/File/2016/4/20160429102544978.pdf"><span style="color: rgb(0, 0, 255);"><strong><u>Prof. Sophie Xiaoyan Ni's CV</u></strong></span></a></p> |
期数 |
厦门大学金融经济学系列讲座2016春季学期第六讲（总第16讲） |
