Narrow search
Showing 1 - 10 of 68
Cover Image
Disentangling crashes from tail events
Aboura, Sofiane - HAL - 2010
the French stock market (1968-2008). In contrast with the common sense, it claims that crashes happen when the volatility …
Persistent link: https://www.econbiz.de/10010899911
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Non-stationarity and meta-distribution
Guegan, Dominique - HAL - 2008
economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc …
Persistent link: https://www.econbiz.de/10010750362
Cover Image
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
Cover Image
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
Cover Image
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