A tale of two tails
研究了固定收益市场中双边尾部风险的经验性质，发现利率衍生品中的条件偏度系统性变化，且尾部风险对不确定性指标的反应不对称。
This paper investigates the empirical properties of two-sided tail risks in the fixed income market. Conditional skewness embedded in interest rate derivatives, particularly swap rates, varies systematically. We analyze the dynamics of tail risks in swaptions, while extracting right- and left-hand side tail measures across various expiries and underlying swap maturities. We find that these tail risks respond asymmetrically to uncertainty measures. Specifically, fiscal and sovereign debt-related uncertainties (monetary and trade policy uncertainties) are positively (negatively) associated with excess tail risk. These results provide new insights into the asymmetric behavior of tail risks in fixed income markets