Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets

Efficient Pricing and Calibration of High-Dimensional Basket Options

This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options on individual stocks and on the index comprising them. Specifically, we show how to resolve a well-known problem that when individual constituent distributions of an equity index are inferred from the single-stock option markets and combined in a multi-dimensional local/stochastic volatility model, the resulting basket option prices will not generate a skew…

股票收益的连续隐马尔可夫模型：重尾发射族与体制条件风险价值

Continuous Hidden Markov Models for Equity Returns: Heavy-Tail Emission Families and Regime-Conditional Value-at-Risk

针对隐马尔可夫模型无法复现绝对收益自相关缓慢衰减的问题，提出连续隐马尔可夫模型，通过分离时间与分布特性，使用重尾发射分布和谱分析，在多个数据集上验证了分布而非时间因素是主要差距，并实现了体制条件风险价值检验。

最大回撤、复苏与动量

Maximum drawdown, recovery, and momentum

本研究基于最大回撤及复苏构建选股规则，实证检验其在多股票市场的资产价格预测能力，发现月度最大回撤组合、周度复苏规则分别在动量、均值回归检测中表现更优，且风险特征与因子中性表现更稳健。