Marcel Omachel
WHU - Otto Beisheim School of Management
5 Papers
6 Citations
Marcel Omachel is an academic researcher from WHU - Otto Beisheim School of Management. The author has contributed to research in topics: Semivariance & Risk premium. The author has an hindex of 2, co-authored 5 publications.
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Papers
Up- and downside variance risk premia in global equity markets
TL;DR: In this article, a general equilibrium model featuring external habit formation and "bad environment-good environment" dynamics for consumption and dividends was proposed to explain many of these stylized facts and highlight the economic mechanisms.
6
The Linkage between Sovereign Defaults and Exchange Rate Shocks in the Eurozone: A Measure for Systemic Risk
Marcel Omachel,Markus Rudolf +1 more
TL;DR: In this article, the authors propose a simple method for measuring systemic sovereign credit risk in the Eurozone by linking sovereign defaults to currency shocks and find that the prevailing level of systemic risk is highly time-varying and peaks around July 2012.
4
Up- and Downside Variance Risk Premia in Global Equity Markets
TL;DR: In this article, the variance risk premium from a new perspective by disaggregating the total variance risk into upper and lower semivariance premia is studied, and it is shown that the variance premium is almost exclusively driven by the left tail of the index return distribution.
3
Common Risks in the Eurozone
TL;DR: In this paper, the authors construct a single consistent jump diffusion model with stochastic volatility which incorporates a common Eurozone shock factor to value currency, interest and sovereign debt products in European financial markets.
1
An Efficient Parallel Simulation Method for Posterior Inference on Paths of Markov Processes
Matthias Held,Marcel Omachel +1 more
TL;DR: This paper proposes a method for efficient simulation of paths of latent Markovian state processes in a Markov Chain Monte Carlo setting by breaking the sequential nature of commonly encountered state simulation routines.
1