Market Volatility Risk in an Era of Extreme Events

June 2023

Author

Kailan Shang, FSA, CFA, PRM, SCIP

Description

The Society of Actuaries’ Investment Section and Committee on Finance Research are pleased to make available a research report using a comprehensive attribution analysis to identify meaningful relationships between market volatility and potential causes. Also included for educational purposes are the open-source codes used to perform the analysis.

Materials

Market Volatility in an Era of Extreme Events

Market Volatility GitHub repository

Acknowledgments

The Society of Actuaries Research Institute would like to thank the Project Oversight Group for their guidance and input:

Stephanie Ching
Jing Fritz
Kimberly Gordon
Antony Moyalan
Robert Reitano
Max Rudolph
Feng Sun
Fabien Thonar
Tianyang Wang
Barbara Scott, SOA Sr. Research Administrator
Steven Siegel, SOA Sr. Practice Research Actuary

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If you have comments or questions, please send an email to research@soa.org.