series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both …. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons.However, if …Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an …

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3 …

paradigmassumes that any investment strategy has its own “inherent reward”and “inherent risk” that can be judged with common sense …. Ijustify axiomatically the existence and uniqueness (ratio scale)of inherent reward (U) and inherent risk (D) that could … beregarded as universal measures of reward and risk for any giveninvestment strategy. Incorporating the notion of …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean … and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate … spot in the upside profit. On the other hand, the SD findings suggest that spot dominates futures in downside risk, while …

for China and Taiwan warrants are not efficient, and second- and third-order risk averters prefer to invest in China …

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed … shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on … regulatory capital requirements, including its inability to capture tail risk”. The proposed reform costs and impact on bank …