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Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default swap market

Longstaff, Francis A.; Mithal, Sanjay; Neis, Eric - 2004

Persistent link: https://www.econbiz.de/10002022642

Bail-in or bail-out? : correlation networks to measure the systemic implications of bank resolution

Giudici, Paolo; Parisi, Laura - In: Risks : open access journal 7 (2019) 1/3, pp. 1-25

We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from the resolution of a failing or likely-to-fail financial institution, under three alternative scenarios: liquidation, private recapitalization, or bail-in. The measure enhances the...

Persistent link: https://www.econbiz.de/10012018723

Optimal retirement benefit guarantees

Panageas, Stauros - 2010

Persistent link: https://www.econbiz.de/10003950872

Liability investment with downside risk

Ang, Andrew; Chen, Bingxu; Sundaresan, Suresh M. - 2013

Persistent link: https://www.econbiz.de/10009748525

Asset allocation and risk allocation : can social security improve its future solvency problem by investing in private securities?

MaCurdy, Thomas E.; Shoven, John B. - 1999

Persistent link: https://www.econbiz.de/10001376928

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10012293125