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- Variance_risk_premium abstract "Variance risk premium is a phenomenon on the variance swap market, of the variance swap strike being greater than the realized variance on average. For most trades, the buyer of variance ends up with a loss on the trade, while the seller profits. The amount that the buyer of variance typically loses in entering into the variance swap, is known as the variance risk premium. The variance risk premium can be naively justified by taking into account the large negative convexity of a short variance position; variance during rare times of crisis can be 50-100 times that of normal market conditions.Using insurance as an analogy, the variance buyer typically pays a premium to be able to receive the large positive payoff of a variance swap in times of market turmoil, to \"insure\" against this.".
- Variance_risk_premium wikiPageID "23020761".
- Variance_risk_premium wikiPageLength "2527".
- Variance_risk_premium wikiPageOutDegree "10".
- Variance_risk_premium wikiPageRevisionID "682955842".
- Variance_risk_premium wikiPageWikiLink Analogy.
- Variance_risk_premium wikiPageWikiLink Capital_asset_pricing_model.
- Variance_risk_premium wikiPageWikiLink Category:Banking.
- Variance_risk_premium wikiPageWikiLink Category:Derivatives_(finance).
- Variance_risk_premium wikiPageWikiLink Category:Financial_economics.
- Variance_risk_premium wikiPageWikiLink Category:Mathematical_finance.
- Variance_risk_premium wikiPageWikiLink Fama–French_three-factor_model.
- Variance_risk_premium wikiPageWikiLink Financial_crisis_of_2007–08.
- Variance_risk_premium wikiPageWikiLink Phenomenon.
- Variance_risk_premium wikiPageWikiLink Variance_swap.
- Variance_risk_premium wikiPageWikiLinkText "Variance risk premium".
- Variance_risk_premium wikiPageUsesTemplate Template:Economics-stub.
- Variance_risk_premium wikiPageUsesTemplate Template:Expert-subject.
- Variance_risk_premium wikiPageUsesTemplate Template:Reflist.
- Variance_risk_premium subject Category:Banking.
- Variance_risk_premium subject Category:Derivatives_(finance).
- Variance_risk_premium subject Category:Financial_economics.
- Variance_risk_premium subject Category:Mathematical_finance.
- Variance_risk_premium hypernym Phenomenon.
- Variance_risk_premium type Disease.
- Variance_risk_premium type Field.
- Variance_risk_premium type Industry.
- Variance_risk_premium type Market.
- Variance_risk_premium type Occupation.
- Variance_risk_premium type Service.
- Variance_risk_premium comment "Variance risk premium is a phenomenon on the variance swap market, of the variance swap strike being greater than the realized variance on average. For most trades, the buyer of variance ends up with a loss on the trade, while the seller profits. The amount that the buyer of variance typically loses in entering into the variance swap, is known as the variance risk premium.".
- Variance_risk_premium label "Variance risk premium".
- Variance_risk_premium sameAs Q7915765.
- Variance_risk_premium sameAs m.064l7hq.
- Variance_risk_premium sameAs Q7915765.
- Variance_risk_premium wasDerivedFrom Variance_risk_premium?oldid=682955842.
- Variance_risk_premium isPrimaryTopicOf Variance_risk_premium.