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Title: When the (expected) loss quantiles go marching in Authors:  Maria Magdalena Vich Llompart - Washington College (United States) [presenting]
Abstract: Option-implied information has been proved to be more accurate in predicting future volatility, returns and downturns. Moreover, the information embedded in the tails is linked to macroeconomic variables. We analyze for the first time the international connectedness of option-implied loss quantiles, which are related with the price of the Arrow-Debreu assets in the worst scenarios. Using data from the S\&P 500, the EuroStoxx 50, the Nikkei 225 and the FTSE 100 index options, we extract the risk-neutral densities and calculate different connectedness measures to confirm that US is the main transmitter of shocks in the S\&P 500 risk-neutral loss quantile while Japan is the main receiver.