| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076799 | Insurance: Mathematics and Economics | 2012 | 14 Pages |
Abstract
⺠We introduce a new and easy to calculate measure for systemic risk in financial markets. ⺠This measure is baptized the Herd Behavior Index (HIX). ⺠It is model-independent and forward looking, based on observed option data. ⺠The HIX compares the observed market situation with the situation under which the whole system is driven by a single factor. ⺠We determine historical values of the 30-days implied Herd Behavior Index for the Dow Jones Industrial Average.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jan Dhaene, Daniël Linders, Wim Schoutens, David Vyncke,