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Shortfall Risks and Excess Chances of Option-Based Rollover Hedge-Strategies with Respect to Alternative Target Returns : Empirical Evidence from the German Stock Market

Adam, Michael; Albrecht, Peter; Maurer, Raimond - 1996

approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure …) historique, ils evaluent le possibilites et risques des strategies de hedging par options (put hedge; covered short call; collar … auteurs essaient d´identifier des relations determinantes entre les differents types des strategies de hedging par options …

Persistent link: https://www.econbiz.de/10005842496

Why does risk matter more in recessions than in expansions?

Andreasen, Martin Møller; Caggiano, Giovanni; … - 2021

This paper uses a nonlinear vector autoregression and a non-recursive identiÖcation strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high (as in expansions). An estimated New...

Persistent link: https://www.econbiz.de/10012649556

The global effects of Covid-19-induced uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard - 2020

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world...

Persistent link: https://www.econbiz.de/10012225439

Global uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global Önancial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-speciÖc factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identiÖcation via a combination of...

Persistent link: https://www.econbiz.de/10012432185

Auf dem Weg zu einem holistischen Risikomanagement?

Albrecht, Peter - 1998

Der vorliegende Beitrag befaßt sich mit aktuellen - sowohl aus Sicht der Wissenschaft als auch aus Sicht der Praxis - Entwicklungen des Risikomanagements vor dem Hintergrund der zu konstatierenden Tendenzen zu einem holistischen Risikomanagement.(...)

Persistent link: https://www.econbiz.de/10005842409