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Bauer, Christian; Rieger, Marc Oliver - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-8

Capital protected products are a special type of structured retail products that guarantee a minimum amount of payment at maturity. They were the earliest type of structured products and are very popular with risk averse investors, but nevertheless have become rare in the past years. Using a...

Persistent link: https://www.econbiz.de/10012622516

Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK

Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We find...

Persistent link: https://www.econbiz.de/10013471220

Net buying pressure and informed trading in the options market : evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

Persistent link: https://www.econbiz.de/10012818141

Testing the information-based trading hypothesis in the option market : evidence from share repurchases

Badshah, Ihsan Ullah; Koerniadi, Hardjo; Kolari, James W. - In: Journal of risk and financial management : JRFM 12 (2019) 4/179, pp. 1-11

The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the … accounts for prescient pricing behavior in options relative to stocks. …

Persistent link: https://www.econbiz.de/10012171287

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10013475217

Banks' foreign claims in the aftermath of the 2008 crisis : institutional response, financial efficiency, and integration of cross-border banking in the Euro area

Warin, Thierry; Stojkov, Aleksandar - In: Journal of risk and financial management : JRFM 14 (2021) 2/61, pp. 1-17

Beyond financial stability as the European Banking Union's primary objective, the European capital market integration provides an impetus for deepening bank integration and greater financial market efficiency. This article proposes an empirical framework to assess the dynamics of euro area...

Persistent link: https://www.econbiz.de/10012483954

Volatility integration in spot, futures and options markets : a regulatory perspective

Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, pp. 1-15

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … volatility in the options market is not associated with volatility in spot and futures market. However, volatility in spot and … futures markets are associated with each other. As a consequence, investors can use options for hedging purposes and policy …

Persistent link: https://www.econbiz.de/10012022005

Strengthening formal credit access and performance through financial literacy and credit terms in micro, small and medium businesses

Widyastuti, Maria; Ferdinand, Deograsias Yoseph Yustinianus - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-14

This study aims to test financial literacy and credit conditions in determining formal credit access to determine the performance of MSMEs. This research includes the type of associative research that is accompanied by hypothesis testing. This research was conducted on MSMEs of as many as 324...

Persistent link: https://www.econbiz.de/10014289557

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973