Options on interbank rates and implied disaster risk
The identification of disaster risk has remained a significant challenge due to the rarity of macroeconomic disasters. We show that the interbank market can help characterize the time variation in disaster risk. We propose a risk-based model in which macroeconomic disasters are likely to coincide wi...
Gespeichert in:
| Veröffentlicht in: | Finance and economics discussion series 2023-08 (2023-054), p.1-49 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Schreiben Sie den ersten Kommentar!