Seminar 217, Risk Management: The Futures Financing Rate
Risk Seminar
Nov 28, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Nicholas Gunther, UC Berkeley (Speaker - Featured)
We estimate the financing rate implicit in equity index futures (“FIR”) by comparing the prices of the near and next contracts and adjusting for expected dividends and convexity. We provide a direct estimate of the FIR volatility, along with the correlation of the FIR and the underlying stock index, which are required for the convexity adjustment and the specification of confidence intervals. Our...