Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface

该项目旨在开发模型，以便在金融压力和全球联系日益紧密的时期更准确地为金融风险定价。具体地说，它计划开发一类新的具有时变负载的潜在因素模型，以模拟金融压力时期全球金融市场的相互关联性。所提出的模型的一个关键特征是潜在创新过程的二阶条件矩在模拟资产回报动态中的作用。该模型的特点是高阶非线性结构，这些结构被平均撞击面图形化地捕捉到。该项目还计划开发一类新的测试，以在存在时变波动的情况下检测资产回报之间的高阶相关性，并调查在金融危机期间构建具有奇异期权以对冲风险的投资组合所产生的影响。

The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional moments of the underlying innovation processes in modelling asset return dynamics. The proposed model is characterised by higher order nonlinear structures which are captured graphically by the mean impact surface. The project also plans to develop a new class of tests to detect higher order dependencies among asset returns in the presence of time-varying volatility, and to investigate the implications for constructing portfolios with exotic options to hedge risk during financial crises.