The Early Warning Function of Option Implied Tail Risk on Systematic Risk
Systematic risk early warning is a critical task for preventing and addressing systemic risk.The options market contains a wealth of valuable and forward-looking information.This paper extracts implied tail risk information from the Shanghai Stock Exchange 50 ETF option prices assesses its efficacy as an early warning indicator for systematic risk.The results show that,option implied tail risk information exhibits significant predictive ability for systematic risk,even after controlling for other risk warning indicators,the findings maintain their significance.The predictive capability of option implied tail risk information varies among different sectors,with its most impactful prediction observed in the risk coefficients of both the stock and bond markets.After incorporating option implied tail risk information into the risk early warning index system can greatly improve the systemic risk early warning effect,and reduce the noise signal ratio.
万方数据
维普
