TY - GEN
T1 - FIX
T2 - The Fear Index-Measuring Market Fear
AU - Dhaene, J.
AU - Dony, J.
AU - Forys, M. B.
AU - Linders, D.
AU - Schoutens, W.
PY - 2012
Y1 - 2012
N2 - In this paper, we propose a new fear index based on (equity) option surfaces of an index and its components. The quantification of the fear level will be solely based on option price data. The index takes into account market risk via the VIX volatility barometer, liquidity risk via the concept of implied liquidity, and systemic risk and herd behavior via the concept of comonotonicity. It thus allows us to measure an overall level of fear (excluding credit risk) in the market as well as to identify precisely the individual importance of the distinct risk components (market, liquidity, or systemic risk). As a an additional result, we also derive an upperbound for the VIX.
AB - In this paper, we propose a new fear index based on (equity) option surfaces of an index and its components. The quantification of the fear level will be solely based on option price data. The index takes into account market risk via the VIX volatility barometer, liquidity risk via the concept of implied liquidity, and systemic risk and herd behavior via the concept of comonotonicity. It thus allows us to measure an overall level of fear (excluding credit risk) in the market as well as to identify precisely the individual importance of the distinct risk components (market, liquidity, or systemic risk). As a an additional result, we also derive an upperbound for the VIX.
UR - http://www.scopus.com/inward/record.url?scp=84892452570&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84892452570&partnerID=8YFLogxK
U2 - 10.1007/978-1-4614-3433-7_4
DO - 10.1007/978-1-4614-3433-7_4
M3 - Conference contribution
AN - SCOPUS:84892452570
SN - 9781461434320
T3 - Springer Proceedings in Mathematics and Statistics
SP - 37
EP - 55
BT - Topics in Numerical Methods for Finance
PB - Springer
ER -