Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms …

introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a … innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We …

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk … Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It …-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

Operational hedging techniques such as risk sharing, currency collars, and a hybrid arrangement can be used when … transactions are subject to unexpected changes in the nominal exchange rate. These hedging devices utilise a risk sharing parameter … threshold risk sharing parameter existed. This paper proposes such a parameter based on a generalized autoregressive …

trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. … predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …