Option-Implied Correlations, Factor Models, and Market Risk


Implied correlation and variance-risk-premium stand out in predicting market returns. However, while the predictive ability of implied correlation lasts for up to a year, the variance-risk-premium predicts market returns only... [ view full abstract ]


  1. Lorenzo Schoenleber (Frankfurt School of Finance and Management)
  2. Adrian Buss (INSEAD)
  3. Grigory Vilkov (Frankfurt School of Finance and Management)

Topic Areas

Options , Systemic Risk , Trading Strategies


TH-A-SW » Forecasting (11:30 - Thursday, 19th July, Swift)

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