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As digital payments become increasingly popular, many central banks are looking into the issuance of retail central bank digital currency (CBDC) as a new central bank monetary liability in addition to banknotes and commercial bank reserves. CBDC will have broadly the same balance sheet and...
Persistent link: https://www.econbiz.de/10015199507
Crude oil draws attention in recent research as its demand may indicate world economic growth trend in the post-COVID-19 era. In this paper, we study the dynamic lead-lag relationship between the COVID-19 pandemic and crude oil future prices. We perform rolling-sample tests to evidence whether...
Persistent link: https://www.econbiz.de/10014332441
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...
Persistent link: https://www.econbiz.de/10010352783
Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy Uncertainty" is to highlight some areas of research in...
Persistent link: https://www.econbiz.de/10010491305
The main objective of this paper is to determine the scope of the use of derivatives by companies in B&H for specific purposes of financial risk management. The aim is to provide a comparative analysis with companies from Slovenia and Croatia in order to determine if companies in B&H use the...
Persistent link: https://www.econbiz.de/10011985070
This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...
Persistent link: https://www.econbiz.de/10011996575
The growth in variable renewable energy (vRES) and the need for flexibility in power systems go hand in hand. We study how vRES and other factors, namely the price of substitute fuels, power price volatility, structural breaks, and seasonality impact the hedgeable power spreads (profit margins)...
Persistent link: https://www.econbiz.de/10011787809
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...
Persistent link: https://www.econbiz.de/10012433186
We review agricultural financing strategies in developed and developing economies in light of the risks that agricultural businesses face due to variations in weather conditions among other challenges. We specifically review Kenyan farmers' agricultural risk management strategies and credit...
Persistent link: https://www.econbiz.de/10012807514
Smart beta strategies across economic regimes seek to address inefficiencies created by market-based indices, thereby enhancing portfolio returns above traditional benchmarks. Our goal is to develop a strategy for re-hedging smart beta portfolios that shows the connection between multi-factor...
Persistent link: https://www.econbiz.de/10013200703