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Subordinated Levy Processes and Applications to Crude Oil Options

Krichene, Noureddine - International Monetary Fund (IMF) - 2005

options pricing. Calibration to crude oil futures' options shows high volatility of oil futures prices, fat-tailed, and right … findings support the view that demand for futures contracts by investors could lead to excessively high price volatility. …

Persistent link: https://www.econbiz.de/10005605320

Assessing Fiscal Sustainability Under Uncertainity

Barnhill, Theodore M.; Kopits, George - International Monetary Fund (IMF) - 2003

VaR approach confirms a significant risk of government financial failure stemming from the volatility and comovements of … vulnerability, the volatility of sovereign spreads and of oil prices remain major sources of risk for Ecuador's public sector. The …

Persistent link: https://www.econbiz.de/10005826365

The End; A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Chan-Lau, Jorge A.; Gravelle, Toni - International Monetary Fund (IMF) - 2005

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as...

Persistent link: https://www.econbiz.de/10005264155

Introduction to Risk Parity and Budgeting

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...

Persistent link: https://www.econbiz.de/10011259736

Pricing Weather Derivatives

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - Morrison School of Agribusiness & Resource Management, … - 2004

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...

Persistent link: https://www.econbiz.de/10005805319

Risk premia in the German electricity futures market

Pietz, Matthäus - Fakultät für Wirtschaftswissenschaften, Technische … - 2009

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...

Persistent link: https://www.econbiz.de/10009219924

Risk premia in electricity wholesale spot markets: empirical evidence from Germany

Pietz, Matthäus - Fakultät für Wirtschaftswissenschaften, Technische … - 2009

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

Persistent link: https://www.econbiz.de/10009219938

RELACIONES RENTABILIDAD-RIESGO EN FUTUROS SOBRE DEUDA A LARGO PLAZO

Ayela, Rosa María - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1995

The aim of this paper is to analyze the existence of risk premia whithin the theorical framework of the CAPM, for long … teórico del CAPM, para los contratos sobre títulos de deuda a largo plazo del Mercado Español de Futuros Financieros de Renta …

Persistent link: https://www.econbiz.de/10005515825

Equity Premium: - Does it exist? Evidence from Germany and United Kingdom

Drew, Michael E.; Mallin, Mirela; Naughton, Tony; … - School of Economics and Finance, Business School - 2004

Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful … role in explaining expected returns. In this paper we ask (a) whether idiosyncratic volatility is useful in explaining the …) our three-factor model provides a better description of expected returns than the CAPM. That is, we find that firm size …

Persistent link: https://www.econbiz.de/10005181682

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities

Csávás, Csaba - Magyar Nemzeti Bank (MNB) - 2008

correlation with the central moments. We present evidence that risk-neutral densities do not provide accurate forecasts for the …

Persistent link: https://www.econbiz.de/10005146790