Implied risk aversion: an alternative rating system for retail structured products View Full Text


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Article Info

DATE

2019-01-04

AUTHORS

H. Fink, S. Geissel, J. Sass, F. T. Seifried

ABSTRACT

This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures as introduced by Geissel et al. (Stat Risk Model 35(1–2):73–87, 2017) and, in contrast to standard V@R-based ratings, takes into account both the upside potential and the downside risks of such products. In addition, implied risk aversion is easily interpreted in terms of an individual investor’s risk aversion: a product is attractive for an investor if his individual relative risk aversion is smaller than the product’s implied risk aversion. We illustrate our approach in a case study with more than 15,000 short-term warrants on DAX that highlights some differences between our rating system and the traditional V@R-based approach. More... »

PAGES

1-31

References to SciGraph publications

  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
  • 2005-10. Conditional and dynamic convex risk measures in FINANCE AND STOCHASTICS
  • 2005-12. Relative Risk Aversion: What Do We Know? in JOURNAL OF RISK AND UNCERTAINTY
  • 1990-07. An analysis of market-index certificates of deposit in JOURNAL OF FINANCIAL SERVICES RESEARCH
  • 2013-05. Risk classes for structured products: mathematical aspects and their implications on behavioral investors in ANNALS OF FINANCE
  • 2002. Coherent Risk Measures on General Probability Spaces in ADVANCES IN FINANCE AND STOCHASTICS
  • 2012-12. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model in ANNALS OF OPERATIONS RESEARCH
  • 2011-09. Beyond payoff diagrams: how to present risk and return characteristics of structured products in FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT
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    http://scigraph.springernature.com/pub.10.1007/s11147-018-9151-0

    DOI

    http://dx.doi.org/10.1007/s11147-018-9151-0

    DIMENSIONS

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