| Título: | Why do variance swaps exist? |
| Autores: | Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo |
| Tipo de documento: | texto impreso |
| Editorial: | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico, 2011-04 |
| Dimensiones: | application/pdf |
| Nota general: |
cc_by_nc info:eu-repo/semantics/openAccess |
| Idiomas: | |
| Palabras clave: | Estado = No publicado , Materia = Ciencias Sociales: Economía: Econometría , Materia = Ciencias Sociales: Economía: Macroeconomía , Tipo = Documento de trabajo o Informe técnico |
| Resumen: |
This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that determines the variance risk premium –the fear by investors to deviations from Normality in returns- is also strongly related to a variety of risks: risk of default, employment growth risk, consumption growth risk, stock market risk and market illiquidity risk. Therefore, the variance risk premium could be interpreted as reflecting the market willingness to pay for hedging against financial and macroeconomic sources of risk. We provide additional evidence in support of that view. |
| En línea: | https://eprints.ucm.es/id/eprint/12520/1/1106.pdf |
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