Disaster risks, volatility and asset prices
Kim, Gaon (A.A. 2023/2024) Disaster risks, volatility and asset prices. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 40. [Master's Degree Thesis]
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Abstract/Index
Model. The consumption process. Preferences. Dividend strips and equity price. Analysis. Analytical results for the VIX. Simulation results. Identifying the relative magnitudes of σλ versus σv. SMM and results. Main results. Variance decomposition for the VIX. Variance decomposition for conditional equity risk premia. Welfare costs from disaster risk vs volatility shocks.
References
Bibliografia: pp. 29-30.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Paciello, Luigi |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 Jan 2025 14:19 |
| Last Modified: | 07 Jan 2025 14:19 |
| URI: | https://tesi.luiss.it/id/eprint/40752 |
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