Profile

FELIX IRRESBERGER

I'm an Associate Professor in Finance at Durham University Business School.

My research interests are blockchain, financial technology & institutions, and quantitative risk management.

Please find links to my research papers below.

Email: felix.irresberger@durham.ac.uk

SSRN Google Scholar

NEW PAPER!

"Cross-Section of Option Returns and the Volatility Risk Premium"

with Simon Fritzsch and Gregor Weiß.

This paper presents a robust new finding that delta-hedged and raw equity option returns include a volatility risk premium. To separate volatility risk premia from confounding effects, we estimate conditional quantile curves of implied volatilities using machine learning. We find that a zero-cost trading strategy that is long (short) in the portfolio with low (high) implied volatility -- conditional on the options' moneyness and realized volatility -- produces an economically and statistically significant average monthly return. Using conditional quantile curves not only helps in distinguishing volatility risk premia from other effects, most notably realized volatility, it also leads to returns that are higher than those reported in previous work on similar volatility strategies.


Fritzsch Irresberger Weiss - Presentation.pdf


MAIN PUBLICATIONS

(8) 'Do Capital Requirements Make Banks Safer? Evidence from a Quasi-natural Experiment', with D. Bostandzic, R. Juelsrud, G. Weiss. Journal of Financial & Quantitative Analysis, accepted January 2021.

(7) 'Bank Size and Household Financial Sentiment: Surprising Evidence from the University of Michigan Surveys of Consumers', with A.N. Berger and R.A. Roman. Journal of Money, Credit, and Banking, 52(S1), 149-191, 2020.

(6) 'A Comparison of Tail Dependence Estimators', with H. Supper and G. Weiss. European Journal of Operational Research, 284, 728-742, 2020.

(5) 'Liquidity Tail Risk and Credit Default Swap Spreads', with G. Weiss, J. Gabrysch, and S. Gabrysch. European Journal of Operational Research, 269, 1137-1153, 2018.

(4) 'Bank stock performance and bank regulation around the globe', with M. Pelster and G. Weiss. European Journal of Finance, 24, 77-113, 2018.

(3) 'Crisis Sentiment in the U.S. Insurance Sector', with F. Koenig and G. Weiss. Journal of Risk & Insurance, 84, 1295-1330, 2017.

(2) 'Explaining Bank Stock Performance with Crisis Sentiment', with J. Muehlnickel and G. Weiss. Journal of Banking & Finance, 59, 311-329, 2015.

(1) 'Systemic Risk of Insurers Around the Globe', with C. Bierth and G. Weiss. Journal of Banking & Finance, 55, 232-245, 2015.

OTHER PUBLICATIONS

'Testing Asymmetry in Dependence with Copula-Coskewness', with A. Buecher and G. Weiss. North American Actuarial Journal, 21, 267-280, 2017.

'Size is everything: Explaining SIFI designations', with C. Bierth and G. Weiss. Review of Financial Economics, 32, 7-19, 2017.