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Variance swaps, non-normality and macroeconomic and financial risks

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270

Persistent link: https://www.econbiz.de/10010467548

Hedging Stock Sector Risk with Credit Default Swaps

Ratner, Mitchell - 2015

This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004-2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also...

Persistent link: https://www.econbiz.de/10013019344

Pricing catastrophe swaps with default risk and stochastic interest rates

Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013332712

Demand-and-supply imbalance risk and long-term swap spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri - In: Journal of financial economics 154 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10015072199

Risk factors in derivatives markets

Martinkutė-Kaulienė, Raimonda - In: Entrepreneurial business and economics review : EBER 2 (2014) 4, pp. 71-83

Persistent link: https://www.econbiz.de/10011450054

A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks

Chang, Chuang-chang; Yu, Jih-Chieh - In: Research in finance 23 (2006), pp. 193-220

Persistent link: https://www.econbiz.de/10003753454

Relating interest rate swaps volatility and macroeconomic uncertainty in Europe

Pinho, Carlos; Madaleno, Mara - In: Banking and finance review 5 (2013) 2, pp. 94-117

Persistent link: https://www.econbiz.de/10010497211

Hedging European derivatives with the polynomial variance swap under uncertain volatility environments

Takahashi, Akihiko; Tsuzuki, Yukihiro; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10009269373

Les risques des produits garantis

Laurent, Jean-Paul - In: Revue d'économie financière : revue trimestrielle de … (1993), pp. 11-42

Persistent link: https://www.econbiz.de/10001146020

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

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