00000nam 2200000zi 4500 9.888239 CaOODSP 20221107171931 m o d f cr |n||||||||| 200615t20202020oncd ob f000 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-5/2020-19E-PDF Feunou, Bruno, author. The term structures of expected loss and gain uncertainty / by Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (78 pages in various pagings) : graphs (mostly colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-19 Cover title. "Last updated: June 3, 2020." Includes bibliographical references. "We document that the term structures of risk-neutral expected loss and gain uncertainty on S&P 500 returns are upward sloping on average. These shapes mainly reflect the higher premium required by investors to hedge downside risk and the belief that potential gains will increase in the long run. The term structures exhibit substantial time-series variation with large negative slopes during crisis periods. Through the lens of Andersen et al.’s (2015) framework, we evaluate the ability of existing reduced-form option pricing models to replicate these term structures. We stress that three ingredients are particularly important: (i) the inclusion of jumps, (ii) disentangling the price of negative jump risk from its positive analog in the stochastic discount factor specification, and (iii) specifying three latent factors"--Abstract, page ii. Stock exchanges Econometric models Canada. Rate of return Econometric models Canada. Risk-return relationships Econometric models Canada. Bourse Modèles économétriques Canada. Taux de rendement Modèles économétriques Canada. Rapport risque-rendement Modèles économétriques Canada. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2020-19. (CaOODSP)9.806221 PDF 1.27 MB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-19-eng.pdf