Publications

Working Papers

Option-Implied Tail Risk and Future Market Conditions

This paper studies tail-risk information extracted from option-implied distributions, with a focus on downside and upside tail behaviour. The project develops tail-risk indicators based on extreme-value methods and examines their predictive content for financial markets and macro-financial conditions.

Status: Working paper in progress.

Density Forecasting, VaR, and Expected Shortfall Using Option-Implied Distributions

This paper evaluates risk-neutral and physical density forecasts derived from option markets. The project focuses on predictive density evaluation, Value-at-Risk, Expected Shortfall, and market risk applications.

Status: Working paper in progress.

Work in Progress

Sector ETF Option-Implied Information

This project studies option-implied information from sector ETF options and examines its relation to sector-level risk, return dynamics, and market conditions.

Status: Research in progress.

Conference Presentations

Option-Implied Tail Risk and Density Forecasting

Presented / to be presented at academic conferences and research seminars.

Details will be updated as presentations are confirmed.