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 Variations in Risk Aversion. Assessing the time dependency of risk aversion recovered from option prices
Наименование:

Variations in Risk Aversion. Assessing the time dependency of risk aversion recovered from option prices

автор Moshe O. издательство Книга по Требованию Экономическая теория
Cтраниц 48        мягкая обложка       
Аннотация:We report decreasing and generally positive risk aversion function, which varies substantially over time and is negatively correlated with the ATM implied volatility. We determine nonparametric volatility smile, densities and risk aversion functions from a ten years sample of daily option and stock market prices. Moreover, we construct a time series of the absolute risk aversion, and study its variation over time. In this paper recent techniques for recovering information implied by options market prices and realized returns are applied empirically to measure the risk aversion of investors in the Israeli stock market.
Автор: Moshe O.
Издательство: Книга по Требованию
Год:2009
Цена:
1996 руб
Нет в наличии
Поиск: Variations in Risk Aversion. Assessing the time dependency of risk aversion recovered from option prices
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Внедрение информационных технологий при ведении социально-гигиенического...

Во многих экономически развитых странах с целью решения вышеперечисленных сложных вопросов активно используется методология оценки риска, основанная на выявлении или прогнозировании вероятности развития неблагоприятных эффектов действия факторов среды обитания человека.Ключевое звено данной методологии - здоровье человека и его охрана от неизбежного риска, связанного с воздействием токсических веществ, где бы они не находились: в воде, воздухе, почве. Концепция риска включает в себя два элемента - оценку риска (Risk Assessme ) и управление риском (Risk Ma ageme ). Оценка риска - научный анализ генезиса и масштабов риска в конкретной ситуации, тогда как управление риском - анализ рисковой ситуации и разработка решения, направленного на минимизацию риска. Риск для здоровья человека (или экосистемы), связанный с загрязнением окружающей среды, возникает при следующих необходимых и достаточных условиях:1) существование источника риска (токсичного вещества в окружающей среде или продуктах питания, либо предприятия по выпуску продукции, содержащей такие вещества, либо технологического процесса и т.д.);2) присутствие данного источника риска в определенной, вредной для здоровья человека дозе или концентрации;3) подверженность человека воздействию упомянутой дозы токсичного вещества.
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