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Author: Jan Dhaene
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
We introduce a new and easy to calculate measure for systemic risk in financial markets. This measure is baptized the Herd Behavior Index (HIX). It is model independent and forward looking, based on observed option data.In order to determine the degree of systemic risk or herd behavior in a financial market one should compare the observed market situation with the extreme (theoretical) situation under which the whole system is driven by a single factor.The Herd Behavior Index (HIX) is defined as the ratio of an option-based estimate of the risk-neutral variance of the market index and an option-based estimate of the corresponding variance of this extreme market situation. Using the theory of comonotonicity, the extreme situation can easily be backed out of the observed option quotes.The HIX can be determined for any market index provided an appropriate series of vanilla options is traded on this index as well as on its components. As an illustration, we determine historical values of the 30-days implied Herd Behavior Index for the Dow Jones Industrial Average, covering the period January 2003 to October 2009.
Author: Jan Dhaene
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
We introduce a new and easy to calculate measure for systemic risk in financial markets. This measure is baptized the Herd Behavior Index (HIX). It is model independent and forward looking, based on observed option data.In order to determine the degree of systemic risk or herd behavior in a financial market one should compare the observed market situation with the extreme (theoretical) situation under which the whole system is driven by a single factor.The Herd Behavior Index (HIX) is defined as the ratio of an option-based estimate of the risk-neutral variance of the market index and an option-based estimate of the corresponding variance of this extreme market situation. Using the theory of comonotonicity, the extreme situation can easily be backed out of the observed option quotes.The HIX can be determined for any market index provided an appropriate series of vanilla options is traded on this index as well as on its components. As an illustration, we determine historical values of the 30-days implied Herd Behavior Index for the Dow Jones Industrial Average, covering the period January 2003 to October 2009.
Author: Sushil Bikhchandani
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 38
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Book Description
Author: Simon Grima
Publisher: Emerald Group Publishing
ISBN: 1787698831
Category : Business & Economics
Languages : en
Pages : 259
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Book Description
This special edition of Contemporary Studies in Economic and Financial Analysis offers seventeen chapters from invited participants in the International Applied Social Science Congress, held in Turkey between the 19th and 21st April 2018.
Author: Daxue Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
This paper uses the cross-sectional variance of the betas to study herd behavior towards market index in major developed and emerging financial markets (categorized as developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of the CAPM and those of the Fama-French three-factor model, with an intention to diminish the impact of multivariate outliers in return data. Through the estimated values obtained from a state space model, we examine the evolution of herding measures, especially their pattern around sudden events such as the 1997-1998 financial crises. This 1997-1998 turmoil turns out to have formed a turning point for most of the financial markets. We document a higher level of herding in emerging markets than in developed markets. We also find that the correlation of herding between two markets from the same group is higher than that between two markets from different groups. This paper will shed light on the calculation of beta and on the financial policy to understand the dynamics of herding in financial markets.
Author: Mrs.Anne Jansen
Publisher: International Monetary Fund
ISBN: 9781557757364
Category : Business & Economics
Languages : en
Pages : 92
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Book Description
Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.
Author: M. A. H. Dempster
Publisher: Cambridge University Press
ISBN: 1139437496
Category : Mathematics
Languages : en
Pages : 290
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Book Description
The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.
Author: Florence Guillaume
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Wilfred Trotter
Publisher:
ISBN:
Category : Collective behavior
Languages : en
Pages : 226
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Book Description
Author: Benjamin van Rooij
Publisher: Beacon Press
ISBN: 0807049093
Category : Social Science
Languages : en
Pages : 314
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Book Description
A 2022 PROSE Award finalist in Legal Studies and Criminology A 2022 American Bar Association Silver Gavel Award Finalist A Behavioral Scientist’s Notable Book of 2021 Freakonomics for the law—how applying behavioral science to the law can fundamentally change and explain misbehavior Why do most Americans wear seatbelts but continue to speed even though speeding fines are higher? Why could park rangers reduce theft by removing “no stealing” signs? Why was a man who stole 3 golf clubs sentenced to 25 years in prison? Some laws radically change behavior whereas others are consistently ignored and routinely broken. And yet we keep relying on harsh punishment against crime despite its continued failure. Professors Benjamin van Rooij and Adam Fine draw on decades of research to uncover the behavioral code: the root causes and hidden forces that drive human behavior and our responses to society’s laws. In doing so, they present the first accessible analysis of behavioral jurisprudence, which will fundamentally alter how we understand the connection between law and human behavior. The Behavioral Code offers a necessary and different approach to battling crime and injustice that is based in understanding the science of human misconduct—rather than relying on our instinctual drive to punish as a way to shape behavior. The book reveals the behavioral code’s hidden role through illustrative examples like: • The illusion of the US’s beloved tax refund • German walls that “pee back” at public urinators • The $1,000 monthly “good behavior” reward that reduced gun violence • Uber’s backdoor “Greyball” app that helped the company evade Seattle’s taxi regulators • A $2.3 billion legal settlement against Pfizer that revealed how whistleblower protections fail to reduce corporate malfeasance • A toxic organizational culture playing a core role in Volkswagen’s emissions cheating scandal • How Peter Thiel helped Hulk Hogan sue Gawker into oblivion Revelatory and counterintuitive, The Behavioral Code catalyzes the conversation about how the law can effectively improve human conduct and respond to some of our most pressing issues today, from police misconduct to corporate malfeasance.
Author: Linda Kohanov
Publisher: New World Library
ISBN: 1608683710
Category : Pets
Languages : en
Pages : 466
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Book Description
Linda Kohanov is beloved for her groundbreaking articulation of “the way of the horse,” an experiential wisdom known to riders for centuries but little studied or adapted to off-horse use. Now Kohanov takes those horse-inspired insights on the nonverbal elements of exceptional communication and leadership into the realms of our workplaces and relationships. Here we explore the benefits of “nonpredatory power” in developing assertiveness, fostering creativity, dealing with conflict, and heightening mind-body awareness. In “A Brief History of Power,” the first part of this far-reaching book, Kohanov profiles cultural innovators who employed extraordinary nonverbal leadership skills to change history, usually on horseback: Winston Churchill, George Washington, Alexander the Great, and Siddhartha Gautama (the Buddha), among others. She also draws on the behavior of mature horse herds, as well as the herding cultures of Africa and Mongolia, to debunk theories of dominance hierarchies, challenge ingrained notions of “survival of the fittest,” and demonstrate the power of a consensual leadership in which governing roles are fluid. Kohanov then adapts these lessons into twelve powerful guiding principles we can all incorporate into our work and personal lives. Eloquent and provocative, this is horse sense for everyone who seeks to thrive in the herds we all run in — our communities, careers, families, and friendships.
