Research Seminars

"Crash Risk in Currency Market"

Speaker: Emmanuel FARHI
Harvard

26 March 2009 - From 11:00 to 12:30

How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we
propose a structural model which includes both Gaussian and disaster risk premia. The model points to a simple estimation procedure based on currency options. We implement this procedure on a large set of countries over the 1996-2008 period, forming portfolios of hedged and unhedged carry trade excess returns by sorting currencies on their forward discounts. We find that the disaster risk premia account for about 30\% of carry trade excess returns in developed countries.

Finance

Speaker: Adriano Rampini

23 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Luke Taylor

16 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Jessica Jeffers

18 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Emil Verner

4 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Ramona Dagostino

14 March 2019 - T104 - From 2:00 pm to 3:15 pm


title : TBA

Economics & Decision Sciences

Speaker: Harry Di Pei
Northwestern

12 February 2019


title : TBA

Economics & Decision Sciences

Speaker: François Geerolf
UCLA

18 December 2018


title : TBA

Economics & Decision Sciences

Speaker: Marko Tervio
Aalto

13 December 2018


Finance

Speaker: Julien Cujean

6 December 2018 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Andres Liberman

29 November 2018 - T004 - From 2:00 pm to 3:15 pm



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