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Climate change is affecting the world via stronger, more severe weather events, rising sea levels, and in many other ways. Are these events and the risks imposed by climate change properly reflected in asset prices? Environmental risks can be thought of as long run risks which influence portfolio decisions. In our Climate Risk Analysis section. We examine the performance of publicly traded environmental portfolios, which can serve as a measure of the new information on environmental risk and a mechanism to hedge these risks.

Climate Risk Analysis

The COVOL index is a measure of the magnitude of shocks to volatility that are common to a broad range of assets. A stable portfolio should be relatively insensitive to the COVOL index, which would calm markets in future waves of pandemics where global financial stability is threatened. As a policy instrument, central banks could take positions on the COVOL index and help investors to diversify their portfolios during a global crisis.

Common Volatility Risk Analysis

The future direction of interest rates has large implications for the determination of discount rates, asset pricing, and firm capital structure. In addition, interest rates and their term structure are often used to infer economic forecasts of inflation, recession, and other key indicators. But where are rates headed in the long term? We forecast the distribution of treasury rates up to 5 years ahead from a 6-month bill to 30-year bond in the Fixed Income Section. We show upper and lower confidence intervals for future rates.

Fixed Income Analysis

The liquidity of a financial asset reflects transaction costs and the ability to unwind large trades at reasonable prices. 'Liquidity spirals' often exacerbate stock market declines, such as what we saw in the last Global Financial Crisis. In the liquidity section we estimate and forecast the liquidity of a broad spectrum of financial assets.

Liquidity Analysis

Often, volatility is assumed to grow with the square root of time. However, this assumes independence between observations each day (i.e. today's volatility has no bearing on what volatility will be tomorrow). Since this is not the case, one must defer to more sophisticated methods in order to estimate long-run volatility. Our Long-Run Value-at-Risk section simulates the 1 month and 1 year risk of holding financial assets, both using only returns and also conditioning average future volatility on current options market data.

Long-Run VaR Analysis

The co-movement of asset prices is important in many financial market decisions, such as portfolio allocation, diversification, and hedging. In our Correlation Analysis section, we use econometric models to determine how these time series co-move, which assets are particularly correlated, and which are diverging in direction.

Correlation Analysis

The Global Financial Crisis of 2008 revealed how financial institutions holding similar leveraged positions could fail together, and how distress could spread through the interconnected financial system. How badly would the equity values of financial institutions decline if there were another crisis today? What degree of capital shortfall would financial institutions suffer? Our Systemic Risk Analysis section of V-Lab simulates crises in domestic markets, as well as another global financial crisis, in an attempt to answer these questions.

Systemic Risk Analysis

There are few guarantees in financial markets. However, we do know that volatility clusters and mean-reverts. But how long will it take to mean revert and, on average, to what level? Where are the 'hot spots' of volatility in the world and in what sectors? We attempt to answer these questions and more in our Volatility Analysis section of V-Lab. Come see the many models meant to explain volatility and explore volatility dynamics.

Volatility Analysis

No pipelines, no scraping — just ask in plain English. 38 tools across 8 domains.

V-Lab

Global Volatility

Volatility Summary

Ticker

Relative Volatility

Level

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Volatility Analysis

Correlation Analysis

Systemic Risk Analysis

Long-Run VaR Analysis

Liquidity Analysis

Fixed Income Analysis

Climate Risk Analysis

Common Volatility Risk Analysis

From the Volatility and Risk Institute

Measured Risk vs. Real-World Risk: What V-Lab Data Tells Us

Monitoring Risk with V-Lab