12 citations · 12 across the 4 of their papers we have counts for
4 papers
Recovering Risk-Neutral Moments from Options
Tjeerd De Vries
Extracting risk-neutral dependence from option prices has remained an open problem since Ross (1976). We propose a projection estimator that uses portfolios of observed options to…
Robust Asset-Liability Management
Tjeerd de Vries, Alexis Akira Toda
Financial institutions often cannot replicate long-dated liabilities with available bonds, especially when leverage and collateral constraints bind. We characterize the feasible po…
A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models
Tjeerd de Vries
I introduce a model-free methodology to assess the impact of disaster risk on the market return. Using S&P500 returns and the risk-neutral quantile function derived from option pri…
Capital and Labor Income Pareto Exponents across Time and Space
Tjeerd de Vries, Alexis Akira Toda
We estimate capital and labor income Pareto exponents across 475 country-year observations that span 52 countries over half a century (1967-2018). We document two stylized facts: (…