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SUMMARY:Switching Risk Off: FX Correlations and Risk Premia - Jason Cen is
  a Research Associate in Finance\, MSc (LSE)\, PhD (City University)
DTSTART:20160609T120000Z
DTEND:20160609T130000Z
UID:TALK62607@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:The recently popularized phrase "risk-off" refers to a change 
 in risk preferences and the effect on asset prices of the associated portf
 olio rebalancing. We identify these episodes as a switch to a polarized co
 rrelation regime of currency returns. These risk-off transitions are relat
 ively infrequent but noticeably increasing over time. They are persistent 
 and associated with geopolitical events. Finally\, risk-off switches are u
 nrelated to changes in macroeconomic fundamentals and to volatility or ave
 rage correlation shocks. Risk-off switches have very significant spill-ove
 r to the returns of broad asset classes and active trading strategies\, wi
 th risky and safe asset returns being penalized and favored\, respectively
 . We document that risk-off switches are associated with significant chang
 es in the positions of professional investors across different financial m
 arkets\, suggesting that the return evidence is consistent with price pres
 sure induced by portfolio rebalancing.
LOCATION:Castle Teaching Room\, Level 4\, Judge Business School
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