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Aggregate Income Risks and Hedging Mechanisms

Shiller, Robert J. - 1993

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective …

Persistent link: https://www.econbiz.de/10012474555

Customer Risk from Real-Time Retail Electricity Pricing : Bill Volatility and Hedgability

Borenstein, Severin - 2006

One of the most critical concerns that customers have voiced in the debate over real-time retail electricity pricing is … that they would be exposed to risk from fluctuations in their electricity cost. The concern seems to be that a customer … very simple hedging strategies can eliminate more than 80% of the bill volatility that would otherwise occur. Far from …

Persistent link: https://www.econbiz.de/10012466141

Sharing R&D Risk in Healthcare via FDA Hedges

Jørring, Adam - 2017

The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We analyze new and simple financial...

Persistent link: https://www.econbiz.de/10012455337

Danger on the Exchange : How Counterparty Risk Was Managed on the Paris Bourse in the Nineteenth Century

Riva, Angelo - 2010

Over the course of the nineteenth century, the struggles of Paris Bourse to manage counterparty risk revealed the awkward choices that face derivatives exchanges. Shortly after it was founded, the stock exchange, primarily a forward market, instituted a mutual guarantee fund to prevent broker...

Persistent link: https://www.econbiz.de/10012463016

Macroeconomic Derivatives : An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk

Gurkaynak, Refet - 2006

In September 2002, a new market in "Economic Derivatives" was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to...

Persistent link: https://www.econbiz.de/10012466742

Should We Fear Derivatives?

Stulz, Rene M. - 2004

This paper discusses the extent to which derivatives pose threats to firms and to the economy. After reviewing the derivatives markets and putting in perspective the various measures of the size of these markets, the paper shows who uses derivatives and why. The difficulties firms face in...

Persistent link: https://www.econbiz.de/10012468119

Price Uncertainty and Price-Contingent Securities

Heal, Geoffrey - 2017

I extend the classical general equilibrium treatment of uncertainty about exogenous states of nature to uncertainty about prices. Traders do not know the prices at which markets will clear but have expectations over possible prices. They trade price-contingent securities (derivatives) to insure...

Persistent link: https://www.econbiz.de/10012453988

A Transparency Standard for Derivatives

Acharya, Viral V. - 2011

Derivatives exposures across large financial institutions often contribute to - if not necessarily create - systemic risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk contributions. In this paper, I explain how a...

Persistent link: https://www.econbiz.de/10012461100

Nonparametric Risk Management and Implied Risk Aversion

Ait-Sahalia, Yacine - 2000

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business...

Persistent link: https://www.econbiz.de/10012471198

The Flight to Safety and International Risk Sharing

Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2021

We study a business cycle model of the international monetary system featuring a time-varying demand for safe dollar bonds, greater risk-bearing capacity in the U.S. than the rest of the world, and nominal rigidities. A flight to safety generates a dollar appreciation and decline in global...

Persistent link: https://www.econbiz.de/10012629458