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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10009647577
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ANÁLISE COMPARATIVA ENTRE ESTRATÉGIAS DE HEDGE COM BASE EM MODELOS ESTÁTICOS E DINÂMICOS PARA CONTRATOS FUTUROS DE CAFÉ ARÁBICA
Muller, Carlos Andre da Silva; Moura, Altair Dias de; … - Sociedade Brasileira de Economia e Sociologia Rural - SOBER - 2008
quanto aos métodos para realização de estratégias de hedge. Em vista disso, esse artigo teve a finalidade de analisar a … efetividade, em redução de riscos, de diferentes estratégias de hedge para o café arábica no Brasil. Foram Testadas quatro …’s case. Moreover, the literature has advanced in the methods for implementation of hedge strategies. This paper had the …
Persistent link: https://www.econbiz.de/10009277058
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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10010738735
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Análise dos Resultados de Operações de Hedging com Contratos Futuros de Boi Gordo da BM&F: 2001 a 2006
Alves, Alexandre Florindo; Serra, Marco Henrique - Sociedade Brasileira de Economia e Sociologia Rural - SOBER - 2008
O presente estudo tem como objetivo, usando simulações, analisar as operações de hedge com contratos de boi gordo da … para operações no mercado futuro de boi gordo. The present has as purpose analyzing, through simulations, the hedge …
Persistent link: https://www.econbiz.de/10008916050
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The Determinants of Credit Default Swap Premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo A. - Centre Interuniversitaire de Recherche en Analyse des … - 2004
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We...
Persistent link: https://www.econbiz.de/10005100839
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Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)
Zgolli, Ghada - HAL - 2012
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...
Persistent link: https://www.econbiz.de/10010821297
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Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities.
Rey, Nathalie - HAL - 2009
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...
Persistent link: https://www.econbiz.de/10008793681
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Measuring business sector concentration by an infection model
Düllmann, Klaus - Deutsche Bundesbank - 2005
Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of...
Persistent link: https://www.econbiz.de/10005082800