financial risk based on asset classes only is ready for a epistemological change. Currently, the definition of financial risk … suffers from three major deficiencies: (1) financial risk is insufficiently measured by the conventional second - order … moments; (2) financial risk is assumed to be stable and all distribution moments are assumed to be time-invariant; and (3 …

financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … order to prevent against crises.Portfolio managers typically rely on estimates of correlations between returns on the … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …

The statistical forecasting efficiency of new crop corn and soybean futures is the topic of frequent academic inquiry … producers are faced with the decision to plant either corn or soybeans on marginal acreage. Agronomic concerns aside, these … decisions hinge on the expected relative return of corn versus soybeans, which is largely a function of expected new crop prices …

corn and soybeans producer at planting, of revenue realized at harvest. The effects of using price and crop yield contracts … draw four major conclusions from the results. First, hedging effectiveness using the new crop yield contract depends … critically on yield basis risk which presumably can be reduced considerably by covering large geographical areas. Second, crop …

hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential … hedging instrument for Omaha cash hogs and cash loins. The strongest evidence of this is for the short-term hedging of cash … hogs. For the other three meats, no futures contract demonstrated a clear hedging advantage. …

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period … due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention … from financial economists and financial practitioners for its use in risk reporting, in particular the risks of derivatives …

risk management and various forms of structured finance. It explores the constraints that these entities face in using … modern financial markets, including counterparty and sovereign risk obstacles, and problems in their legal and regulatory …