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Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010933872

Window double barrier options

Guillaume, Tristan - HAL - 2003

also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

Persistent link: https://www.econbiz.de/10010820456

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

Persistent link: https://www.econbiz.de/10008873568

Disagreement-Based Trading and Speculation: Implications for Financial Regulation and Economic Theory

Biondi, Yuri - HAL - 2011

Lynn Stout's paper develops an insightful legal-economic analysis of speculative trading. From one hand, the paper discusses the legal-economic framework of speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis) of...

Persistent link: https://www.econbiz.de/10008835378

Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Pham, Vinson - HAL - 2012

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the...

Persistent link: https://www.econbiz.de/10009651571

Non-stationarity and meta-distribution

Guegan, Dominique - HAL - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10010750362

Likelihood-based scoring rules for comparing density forecasts in tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - HAL - 2011

We propose new scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules can be interpreted in terms of...

Persistent link: https://www.econbiz.de/10010898622

LA PERTINENCE D'UNE REFLEXION SUR LA RESILIENCE DES SUPPLY CHAINS DANS UN CONTEXTE DE RISQUES: PERSPECTIVES POUR LES SUPPLY CHAINS GLOBALES

Haouari, Mohamed; Balambo, Mohammed Amine; Yao, Yuan - HAL - 2010

La supply chain apparaît plus vulnérable et fragile dans un contexte marqué par une grande pression concurrentielle, une demande volatile, une tendance vers les économies d'échelle et l'externalisation. La gestion de risque représente ainsi un enjeu incontournable et essentiel pour la...

Persistent link: https://www.econbiz.de/10010899033

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

Persistent link: https://www.econbiz.de/10010899196

The Precautionary Principle and chemical risks

Godard, Olivier - HAL - 2012

EU institutions (Commission, Council and Parliament) have adopted the EU doctrine of the Precautionary Principle (PP) in year 2000, whereas the EU is the sole huge region where something called the PP is implemented and controlled by case law. There is nevertheless a huge contrast between this...

Persistent link: https://www.econbiz.de/10010899750