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measures of risk. Furthermore, Qα(X ; p) is the optimal value in a certain minimization problem, the minimizers in which are … problems. In finance, Q0(X;p) and Q1(X ; p) are known as the value at risk (VaR) and the conditional value at risk (CVaR). The … sensitivity to risk. The problems of the effective computation of the bounds are considered. Various other related results are …
Persistent link: https://www.econbiz.de/10010482350
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …
Persistent link: https://www.econbiz.de/10011890772
The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP …) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …
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market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …
Persistent link: https://www.econbiz.de/10011300314
We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the … context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options … be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non …
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Cryptocurrency literature is increasing rapidly nowadays. Particularly, the role of the cryptocurrency market as a risk … based on the cryptocurrency market as a risk management avenue against economic policy uncertainty (EPU). The review … discovers that cryptocurrencies have mixed connectedness patterns with all national EPU therefore, the risk mitigation ability …
Persistent link: https://www.econbiz.de/10012632009