Options on Interbank Rates and Implied Disaster Risk
利用银行间利率及其期权数据，通过最大似然估计提取灾难风险的短期和长期成分，为罕见灾难模型提供独立于股票市场的外部验证。
Abstract The identification of disaster risk has remained a significant challenge due to the rarity of macroeconomic disasters. We show that the interbank market can help characterize the time variation in disaster risk. We propose a risk-based model in which macroeconomic disasters are likely to coincide with interbank market failure. Using interbank rates and their options, we estimate our model via maximum likelihood estimation (MLE) and filter the short-run and long-run components of disaster risk. Our estimation results are independent of the stock market and serve as an external validity test of rare disaster models, which are typically calibrated to match stock moments.