EVI-Emerging Asia - EDHEC-Risk

More documents

Recommendations

Info

Methodology: Aggregation • To reduce the bias coming from country-specific factors, for regional universes we employ a twostep procedure: – Calculate the CSV Index for all countries in the universe on a stand-alone basis. – Aggregate the cross-sectional variances by applying weights proportional to the number of stocks of each country in the regional universe.
Introducing EVI • The methodology has been implemented for a universe of 12 country and regional indices and 2 broad global universes. • The EDHEC-Risk Equity Volatility Indices (EVI) include the following universes: – Country level: US, Canada, UK, Japan – Regional level: Latin America, Eurozone, Dev Europe ex EUR ex UK, Emerging Europe, Emerging MEA, Developed MEA, Emerging Asia, Developed Asia ex Japan. – Global universes: World Developed, World Emerging.
Page 1 and 2: EDHEC-Risk Days Europe 2012 May 10,
Page 3 and 4: Outline • Volatility Indicators -
Page 5 and 6: Introduction • Information about
Page 7 and 8: Volatility Indices • Since inform
Page 9 and 10: Problems with Option-Implied Volati
Page 11 and 12: Introducing a New Volatility Index
Page 13 and 14: 1 Day Before Fukushima • The cros
Page 15 and 16: Cross-Sectional Volatility • We p
Page 17 and 18: • Volatility Indicators - Backgro
Page 19 and 20: Interpretations of CSV • Among al
Page 23 and 24: Methodology: Liquidity • Lack of
Page 25: Value-Added of Robustness 1.4 1.2 1
Page 31 and 32: Pan-Asian Volatility Indicators 1 0
Page 33 and 34: EVI-Developed Asia ex Japan vs VKOS
Page 35 and 36: Correlations between Asian Option-
Page 37 and 38: 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6
Page 39 and 40: Conclusions • We introduce a new

EVI-Emerging Asia - EDHEC-Risk

Create successful ePaper yourself

Delete template?

Save as template?