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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

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

Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity …

Persistent link: https://www.econbiz.de/10012018726

The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach

Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19

have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the … price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by … determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via …

Persistent link: https://www.econbiz.de/10012597100

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

stochastic volatility, and instead relies on data/statistics. A data/statistics-based approach to swap pricing is very different … to compare a stochastic model to the data/statistics-based approach to swap pricing that is developed within this paper. …

Persistent link: https://www.econbiz.de/10014370400

Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities

Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22

calculate averaged swap prices for financial markets with semi-Markov volatilities? This question has not been considered in the …

Persistent link: https://www.econbiz.de/10014375249

Modeling cycle dependence in credit insurance

Caja, Anisa; Planchet, Frédéric - In: Risks : open access journal 2 (2014) 1, pp. 74-88

Business and credit cycles have an impact on credit insurance, as they do on other businesses. Nevertheless, in credit insurance, the impact of the systemic risk is even more important and can lead to major losses during a crisis. Because of this, the insurer surveils and manages policies almost...

Persistent link: https://www.econbiz.de/10010338091

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Safety margins for systematic biometric and financial risk in a semi-Markov life insurance framework

Niemeyer, Andreas Johannes - In: Risks : open access journal 3 (2015) 1, pp. 35-60

Insurance companies use conservative first order valuation bases to calculate insurance premiums and reserves. These valuation bases have a significant impact on the insurer's solvency and on the premiums of the insurance products. Safety margins for systematic biometric and financial risk are...

Persistent link: https://www.econbiz.de/10010482069

New definition of default - recalibration of credit risk models using Bayesian approach

Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł - In: Risks : open access journal 10 (2022) 1, pp. 1-16

After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consistency in credit risk measurement and capital...

Persistent link: https://www.econbiz.de/10012805453