|
|
Financial crises, implied volatility and stress testing
|
252 KB
|
|
This paper surveys the behavior of forward-looking asset prices during market crises, with particular focus on historical and implied volatilities. We focus on two specific episodes, the European monetary crisis of 1992-1993 and the Asian crisis of 1997 to 1999. Implied volatilities are shown to contain useful information for predicting market stress in the immediate future.
|
|
Download this document: Financial crises, implied volatility and stress testing
252 KB
|
|
Allan Malz
|
|
October 2001
|
|
|
