Scholes presents his research into what the markets were saying about the risks in the S&P 500 in the years before, during, and after the financial crisis, focusing on two-month put options. He concentrates on the tails of the distributions. “When tail events occur,” Scholes says, “then risky assets all behave as one.” He notes the cliché that ‘diversification is free’ and instead observes, “In times of stress, it isn’t enough.” He highlights four distinct periods in the data, which cover the years 2005 to 2009. 

A session from the 2008 Financial Crisis: A Ten-Year Review conference held on 8-9 November 2018 in New York.