under the martingale measure, and, as a consequence, it is able to fit a slowly de- caying term structure of futures return …

This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining …

hedged derivatives positions.Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test …, since we need information of the distribution in the tail.As derivatives positions change characteristics and thereby the …

financial derivatives to extract rent from a potential entrant. The incumbent can indeed sell insurance to a large buyer to … derivatives for more than his expected production level, i.e. by taking a speculative position. This comes at the cost of …

investigated derivatives usage for risk management purposes in the US (see, among others, Bodnar, Hayt, Marston and Smithson, 1995 … tend to rely on OTC-transactions, US firms use exchange-traded derivatives and therefore require a higher counter party … rating for derivatives transactions. This distinction can be accredited to the differences in the financial environments …

slope of the default-free term structure.While changes in the slope a.ect all rating categories, changes in the level are …

context of loan default. Using a proprietary database from one of the largest state-owned commercial banks in China, we find … that the bank’s internal credit rating scores play a significant role in default prediction. While the internal credit …