时 间：2018年9月14日（周五）下午13：30
地 点：浙江大学紫金港校区行政楼1002会议室
主讲人：Tarik Driouchi，University Reader，King's College London, University of London
题 目：Ambiguity aversion and systemic banking risk: Evidence from the options market
摘 要：
The research examines the relationship between investors’ bounded rationality in the options market and systemic banks’ performance. Eliciting ambiguity from option pricing data on the twelve major U.S. banks between 2003 and 2009, we find that higher deviations from rational valuation and risk-neutrality - in the form of investor ambiguity aversion and seeking - are associated with significant increases in systemic banks’ downside, market and credit risks. Consistent with behavioral and prospect theory predictions, we document strong evidence of ambiguity aversion among put option holders and highlight patterns of ambiguity-seeking among call option investors. Variance decomposition findings confirm that the resulting subjective behavior from option transactions explains a significant proportion of U.S. banking risk variance. More pronounced during periods of economic turbulence and bank stress (i.e., the 2007-2009 crisis), these effects hold after controlling for size, fat tail risk, market volatility and so called “unk-unks” or volatility of volatility dynamics.
主讲人简介：
