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Corporate Production and Hedging Decisions Under Dodd-Frank and EMIR
Lehrbass, Frank - 2014
We explore the consequences from the two regulatory frameworks Dodd-Frank and EMIR for industrial corporates. We point out that - by falling under the clearing obligation - not only the corporate's option to decide freely on its positioning within the well-known “Risk Triangle” is...
Persistent link: https://www.econbiz.de/10013047941
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Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk
Lehrbass, Frank - 2014
stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …
Persistent link: https://www.econbiz.de/10013061102
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Fundamentals of Futures and Options
Clarke, Roger G - 2015
security or index from which they ultimately derive their value. Pricing and hedging relationships of futures contracts, option … characteristics and strategies, and option pricing and hedging relationships are also addressed. To further assist the reader, the …
Persistent link: https://www.econbiz.de/10013021343
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Counterparty Credit Risk and Clearing of Derivatives – From the Perspective of an Industrial Corporate with a Focus on Commodity Markets
Lehrbass, Frank - 2013
markets, the available tools for credit risk management with a special focus on clearing, CDS, the hedging and pricing of … Securitizations and Derivatives. Chichester: Wiley & Sons 2013 …
Persistent link: https://www.econbiz.de/10013089861
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Non-linear relationship between foreign currency derivatives and firm value : evidence on Sharīʿah compliant firms
Zaminor Zamzamir; Bin Haron, Razali; Ahmad Baharul … - In: Islamic economic studies 28 (2021) 2, pp. 156-173
degree of derivatives usage and risk. Second, firms practice selective hedging to maintain the upside potential of firm value … derivatives to increase firm value, second, the evidence of selective hedging from the non-linear relationship between derivatives …Purpose This study examines the impact of hedging on firm value of Sharīʿah compliant firms (SCFs) in a non …
Persistent link: https://www.econbiz.de/10012598390
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The relationship between earnings volatility and corporate risk disclosures
Rammala, Johannes; Toerien, Franz Eduard - In: South African journal of economic and management sciences 27 (2024) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10015046025
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Liquidity-induced dynamics in futures markets
Fagan, Stephen; Gençay, Ramazan - 2007
Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...
Persistent link: https://www.econbiz.de/10011523414
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Hedge and Speculate : Replicating Option Payoffs with Limit and Market Orders
Cartea, Álvaro - 2017
We consider an agent who takes a short position in a contingent claim and employs limit orders (LOs) and market orders (MOs) to trade in the underlying asset to maximize expected utility of terminal wealth. The agent solves a combined optimal stopping and control problem where trading has...
Persistent link: https://www.econbiz.de/10012958754
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The information asymmetry effects of expanded disclosures about derivative and hedging activities
Steffen, Thomas D. - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 6298-6325
Persistent link: https://www.econbiz.de/10013372982
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A unique view of hedge fund derivatives usage : safeguard or speculation?
Aragon, George O.; Martin, J. Spencer - In: Journal of financial economics 105 (2012) 2, pp. 436-456
Persistent link: https://www.econbiz.de/10009666817