WebMar 29, 2024 · UBS’s acquisition of Credit Suisse has removed a major tail risk for the sector. However, a contagion impact was felt in the market for Additional Tier 1 (AT1) securities, or CoCo (contingent-convertible) bonds, as AT1s have written down to zero while equity holders are receiving UBS shares. WebWe find that a US equity tail risk factor constructed from out-of-the-money S&P 500 put option prices explains the cross-sectional variation of currency excess returns. …

Common Macro Factors and Currency Premia - Cambridge Core

WebJun 17, 2024 · Abstract. We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium … Webthat the risk premium for tail events cannot solely be explained by the level of the volatility. In parallel to the equity premium, defined as the difference between the statistical and … christmas bingo sheets printable

US Equity Tail Risk and Currency Risk Premia - wu.ac.at

WebThis paper studies the pricing implication of US equity tail risk in the cross section of currency excess returns. The size and international linkages of the US economy have … WebWe find that a US equity tail risk factor constructed from out-of-the-money S&P 500 put option prices explains the cross-sectional variation of currency excess returns. Currencies highly exposed to this factor offer a low currency risk premium because they appreciate when US tail risk increases. In a reduced-form model, we show that country-specific tail … WebMar 10, 2024 · Executive Summary. Alternative risk premia (“ARP”) strategies are a category of hedge fund strategies that aim to systematically isolate and harvest excess returns from exposure to specific risk factors, … christmas bingo worksheets