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Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de/10015333614

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

Persistent link: https://www.econbiz.de/10011890772

Deep equal risk pricing of financial derivatives with non-translation invariant risk measures

Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27

applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

Persistent link: https://www.econbiz.de/10014391590

When to hedge downside risk?

Giannikos, Christos; Guirguis, Hany; Kakolyris, Andreas; … - In: Risks : open access journal 12 (2024) 2, pp. 1-20

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity …

Persistent link: https://www.econbiz.de/10014497324

Nonparametric Malliavin-Monte Carlo computation of hedging Greeks

Mancino, Maria Elvira; Sanfelici, Simona - In: Risks : open access journal 8 (2020) 4/120, pp. 1-17

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l …

Persistent link: https://www.econbiz.de/10012390464

An integrated risk management methodology for deposits and loans

Hackworth, Gregory R.; Tian, Weidong; Vandenberg, Michael R. - In: Risks : open access journal 13 (2025) 3, pp. 1-26

This paper presents an integrated risk management methodology for measuring and managing the economics, risks, and financial resources/constraints related to deposits and loans in a commercial bank. Within a comprehensive and integrated framework, we develop valuation and risk models for all...

Persistent link: https://www.econbiz.de/10015358910

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

Persistent link: https://www.econbiz.de/10013363078

Economic policy uncertainty and cryptocurrency market as a risk management avenue : a systematic review

Ul Haq, Inzamam; Maneengam, Apichit; Supat Chupradit; … - In: Risks : open access journal 9 (2021) 9, pp. 1-24

hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund …

Persistent link: https://www.econbiz.de/10012632009

Disentangling trend risk and basis risk with functional time series

Liu, Yanxin; Li, Johnny Siu-Hang - In: Risks : open access journal 11 (2023) 12, pp. 1-18

improved robustness in terms of correlation structures and hedging performance, offering a new perspective on treating cross …

Persistent link: https://www.econbiz.de/10014446577

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634