Friedrich Lorenz
University of Münster
4 Papers
5 Citations
Friedrich Lorenz is an academic researcher from University of Münster. The author has contributed to research in topics: Variance risk premium & Capital asset pricing model. The author has an hindex of 1, co-authored 4 publications.
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Papers
Nonlinear Dynamics in Conditional Volatility
TL;DR: In this paper, the authors show that these quantitative results are almost exclusively driven by an inaccurate measure of conditional volatility, and that conditional volatility exhibits a strong procyclical pattern and the models do not deliver a sizeable variance risk premium in response to jumps in state variables.
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Downside Risks and the Price of Variance Uncertainty
TL;DR: In this article, the role of generalized disappointment aversion (GDA) in reconciling several asset-pricing puzzles in models of long-run risks is studied, and a key feature of the calibrated model is the significant wedge GDA drives between the physical and the risk-neutral measure.
4
The Leverage Bearing Capacity: A New Tool for Intermediary Asset Pricing
TL;DR: In this paper, the authors introduce a new proxy for the health of financial intermediaries, the Leverage Bearing Capacity (LBC), which is the leverage of a fictitious intermediary that targets a fixed level of risk and rebalances its capital structure on an ongoing basis.
1
Option-Based Intermediary Leverage
TL;DR: In this paper, an option-implied proxy for the health of financial intermediaries, called Leverage Bearing Capacity (LBC), is introduced, which is based on market values, available at any frequency, and naturally incorporates higher moments.