Financial Analysts Journal·VOL72,NO.5·September/October 2016.

危机风险的（时变）重要性

作者：Ivo Welch (J. Fred Weston Professor at the UCLA Anderson Graduate School of Management, Los Angeles)

摘要：历史上每年7%的股权风险溢价中有多少可能是刚刚发生的危机的风险补偿？答案可以在实值看跌期权中找到，这有利于规避此类危机💆🏽‍♂️。使用一个月滚动指数看跌期权的成本，作者发现，危机风险的最大可能溢价能被解释大约2%，剩下的5%是突发危机意外的原因造成的。我还提出了一个新颖的“conservative diffuse prior”方法来对待黑天鹅事件的风险✏️。

The (Time-Varying) Importance of Disaster Risk

Ivo Welch (J. Fred Weston Professor at the UCLA Anderson Graduate School of Management, Los Angeles)

ABSTRACT

How much of the historical 7% per year equity risk premium could have been risk compensation for disasters that just happened not to have occurred? The answer can be found in below-the-money put prices, which would have protected against such disasters. Using the cost of rolling over one-month index put options, I show that the maximum possible premium for crash risk could not have accounted for more than about 2% per year, thus leaving about 5% per year for reasons other than sudden disasters. I also provide a novel “conservative diffuse prior” approach for dealing with black swan risk.

原文链接： https://doi.org/10.2469/faj.v72.n5.3

翻译🚻🏋🏽‍♀️：赵胜旺