Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2, 2017 erstellt
Description:
Eigenfunction and quadrature methods have been extensively used in asset pricing as a forecasting tool. In contrast, their application to systemic risk has been limited. With the advent of high frequency options panels we document a battery of measures that can be used to measure and forecast systemic risk, these include computationally intensive dependency measures such as cubic and quartic average implied correlations. We then demonstrate, using the cross section of all US banks in Compustat, that our forward-looking, option-market based measures, are effective used in augmenting the forecasting component of a standard bank stress-testing model