Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
We propose a new measure of financial intermediary constraints based on how intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money index put options, we identify periods when the variations in the net amount of trading between fi...
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| Format: | Article |
| Language: | English |
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Oxford University Press (OUP),
2021-02-08T18:58:02Z.
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| Subjects: | |
| Online Access: | Get fulltext |