Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies

Marie Brière () and Kamal Chancari

Revue d'économie politique, 2004, vol. 114, issue 4, 527-555

Abstract: Risk perception on financial markets, construction of anindicator based on options smiles and test of strategies This work aims to construct an indicator reflecting the risk perception on different markets and to test if this information is valuable in elaborating allocation strategies. We use daily option smiles data on 5markets (S?P 500, DAX, Nikkei, euro/$ and $/yen) during the period October 1999 ? June 2003 to calculate the distribution of market expectations (the risk neutral density function) each day. By comparing this distribution to the historical density function (calculated using a kernel estimator), we deduce investor risk aversion, which allows us to build an indicator of risk perception for each of the 5markets as well as a global indicator. We test the profitability of strategies based on our indicators. We underweight risky assets when risk aversion is high and overweight when it is low. Comparing the performances of our test portfolios with that of a benchmark composed of 50%/50 % of risky/non risky assets, we show that signals given by our risk aversion indicators help to improve portfolio performances, except for the forex positions.

Keywords: risk neutral density; option pricing; forex options; stock indices options; risk aversion; strategies (search for similar items in EconPapers)
Date: 2004
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