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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
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Does working capital management influence operating and market risk of firms?
Akbar, Ahsan; Akbar, Minhas; Nazir, Marina; Poulova, Petra - In: Risks : open access journal 9 (2021) 11, pp. 1-20
Extant empirical studies have predominantly focused on the nexus between working capital management (WCM) and corporate profitability. While there is a dearth of literature on the nexus between WCM and a firm's risk, the present study examines Pakistani-listed firms coming from 12 diverse...
Persistent link: https://www.econbiz.de/10012704044
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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
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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
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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
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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
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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
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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
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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
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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