Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "8384"
#_source: array:26 [
"id" => "8384"
"slug" => "8384-risk-neutral-versus-real-world-distribution-of-publicly-listed-bank-corporations"
"yearMonth" => "2016-07"
"year" => "2016"
"title" => "Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corporations"
"description" => "DACOROGNA, M., FRANCISCO MIGUELEZ, J.J. et KRATZ, M. (2016). <i>Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corporations</i>. ESSEC Business School. 
DACOROGNA, M., FRANCISCO MIGUELEZ, J.J. et KRATZ, M. (2016). <i>Risk Neutral Versus Real-World Distr "
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DACOROGNA M."
]
2 => array:1 [
"name" => "FRANCISCO MIGUELEZ J.-J."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "In this study, we examine different quantitative methods to recover the risk neutral distribution function associated to the prices of option on bank shares. This is useful for a wide range of applications, such as determining the implicit State guarantee that systemic financial institutions benefit from the State, or looking if the market prices correctly the fat tails of financial returns. We assess the performance of these techniques in various ways, including comparing market option prices and historical Values-at-Risk to option prices and Value-at- Risk implied by the estimated risk neutral distribution. We find that, contrary to what is expected for a market composed of risk averse investors, the latter is much smaller than the one obtained from real data. We discuss our results with respect to the theory of risk neutral valuation and investor risk preference. In this study, we examine different quantitative methods to recover the risk neutral distribution fu "
"en" => "In this study, we examine different quantitative methods to recover the risk neutral distribution function associated to the prices of option on bank shares. This is useful for a wide range of applications, such as determining the implicit State guarantee that systemic financial institutions benefit from the State, or looking if the market prices correctly the fat tails of financial returns. We assess the performance of these techniques in various ways, including comparing market option prices and historical Values-at-Risk to option prices and Value-at- Risk implied by the estimated risk neutral distribution. We find that, contrary to what is expected for a market composed of risk averse investors, the latter is much smaller than the one obtained from real data. We discuss our results with respect to the theory of risk neutral valuation and investor risk preference. In this study, we examine different quantitative methods to recover the risk neutral distribution fu "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-03-21T21:21:44.000Z"
"docTitle" => "Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corporations"
"docSurtitle" => "Working Papers"
"authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, DACOROGNA M., FRANCISCO MIGUELEZ J.-J."
"docDescription" => "<span class="document-property-authors">KRATZ Marie, DACOROGNA M., FRANCISCO MIGUELEZ J.-J.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2016</span> <span class="document-property-authors">KRATZ Marie, DACOROGNA M., FRANCISCO MIGUELEZ J.-J.</span><b "
"keywordList" => ""
"docPreview" => "<b>Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corporations</b><br><span>2016-07 | Working Papers </span> <b>Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corporations</b><br><span>201 "
"docType" => "research"
"publicationLink" => "<a href="#" target="_blank">Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corporations</a> <a href="#" target="_blank">Risk Neutral Versus Real-World Distribution of Publicly Listed Bank Corp "
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.726416
+"parent": null
}
