Measuring and hedging geopolitical risk
Geopolitical events can impact volatilities of all assets, asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We introduce a definition of geopolitical risk which is based o...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
SSRN
2020
|