By following the paper: “Tails, fears, and risk premia”, we are able to separate jumps and continuous price variation under the risk-neutral distribution. In addition, several tail risk measures can be estimated in a model-free way. We provide python code to extract those model-free tail risk measures. If you are interested in this line of work, you can extend this for different assets and analyze predictability of those model-free risk measures. Please submit a grade report and CV to maxim.ulrich@kit.edu.

“Tails, fears, and risk premia”