Advances in Risk Management

349

Table 17.7

Sensitivity of volatility, covariance and risk premium to unitary shocks (1%)

Panel A: sensitivity of volatility, covariance and risk premium of the French indices to unitary shocks (1%)

CAC40 shock

MIDCAC shock

Common shock

+−+−

CAC40(

+

)

CAC40(

−

)

CAC40(

+

)

CAC40(

−

)

MIDCAC(

+

)

MIDCAC(

−

)

MIDCAC(

−

)

MIDCAC(

+

)

CAC40Volatility

1.6088

2.3847

2.5765

3.5083

0.9677

4.2529

4.8152

4.5406

Risk premium

0.0588

0.1291

0.1507

0.2794

0.0213

0.4106

0.5240

0.4659

MIDCACVolatility

0.4161

0.7703

3.5291

5.5516

3.1130

5.8338

5.8252

3.9986

Covariance

0.0067

0.0181

0.0912

0.1934

0.0302

0.2347

0.2671

0.1765

Risk premium

0.0152

0.0412

0.2070

0.4391

0.0686

0.5329

0.6038

0.3990

Panel B: sensitivity of volatility, covariance and risk premium of the German indices to unitary shocks (1%)

DAX shock

SDAX shock

Common shock

+−+−

DAX(

+

)

DAX(

−

)

DAX(

+

)

DAX(

−

)

SDAX(

+

)

SDAX(

−

)

SDAX(

−

)

SDAX(

+

)

DAXVolatility

2.0876

2.7423

1.9311

2.1662

4.0187

4.8751

0.9941

1.7851

Risk premium

0.2545

0.4392

0.2178

0.2740

0.9432

1.3879

0.0577

0.1861

SDAXVolatility

0.3793

0.4181

3.3099

3.3101

3.6892

3.6954

2.9311

2.9362

Covariance

0.0074

0.0103

0.0604

0.0610

0.1384

0.1420

−

0.0042

−

0.0014

Risk premium

0.0432

0.0600

0.3527

0.3562

0.8083

0.8293

−

0.0246

−

0.0085Continued