series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both …. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons.However, if …Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an …

paradigmassumes that any investment strategy has its own "inherent reward" and "inherent risk" that can be judged with common sense …. Ijustify axiomatically the existence and uniqueness (ratio scale)of inherent reward (U) and inherent risk (D) that could … beregarded as universal measures of reward and risk for any giveninvestment strategy. Incorporating the notion of …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk - (p. 3 …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and …

This paper provides a brief review of the connecting literature in management science, economics and finance, and …

This paper provides a review of some connecting literature in Decision Sciences, Economics, Finance, Business …

currency hedging strategies, for a series of 7 models,using Bayesian inference and decision analysis. The models differ in the … way time-varying means,variances or the unconditional error distributions are incorporated. In this extension, we … comparethe hedging decisions and financial returns and utilities as they result from the modellingassumptions and the attitudes …