Sangam: A Confluence of Knowledge Streams

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

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dc.creator Chen, Hui
dc.date 2021-02-08T18:58:02Z
dc.date 2021-02-08T18:58:02Z
dc.date 2018-05
dc.date 2014-12
dc.date 2021-02-08T18:12:50Z
dc.date.accessioned 2023-03-01T18:11:35Z
dc.date.available 2023-03-01T18:11:35Z
dc.identifier 0893-9454
dc.identifier https://hdl.handle.net/1721.1/129706
dc.identifier Chen, Hui et al. “Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets.” Review of Financial Studies, 32, 1 (May 2018): 228–265 © 2018 The Author(s)
dc.identifier.uri http://localhost:8080/xmlui/handle/CUHPOERS/279101
dc.description We propose a new measure of financial intermediary constraints based on how intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money index put options, we identify periods when the variations in the net amount of trading between financial intermediaries and public investors are likely to be mainly driven by shocks to intermediary constraints. We then infer tightness of intermediary constraints from the quantities of option trading. A tightening of intermediary constraints according to our measure is associated with increasing option expensiveness, higher risk premia, deteriorating funding liquidity, and broker-dealer deleveraging.
dc.format application/pdf
dc.language en
dc.publisher Oxford University Press (OUP)
dc.relation 10.1093/RFS/HHY004
dc.relation Review of Financial Studies
dc.rights Creative Commons Attribution-Noncommercial-Share Alike
dc.rights http://creativecommons.org/licenses/by-nc-sa/4.0/
dc.source Other repository
dc.title Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
dc.type Article
dc.type http://purl.org/eprint/type/JournalArticle


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