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Hedging effectiveness of European wheat futures markets : an application of multivariate GARCH models
Zuppiroli, Marco; Revoredo Giha, César L. - In: International journal of applied management science 8 (2016) 2, pp. 132-148
Persistent link: https://www.econbiz.de/10011636094
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Hedging Size Risk : Theory and Application to the US Gas Market
Roncoroni, Andrea - 2017
Many corporate commitments exhibit a combined financial exposure to both market prices and idiosyncratic size components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint fluctuations in price and size terms. The hedge is sought...
Persistent link: https://www.econbiz.de/10012969111
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Gas storage valuation and hedging : a quantification of model risk
Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-27
coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two …-fold. Firstly, we propose a model that unifies the dynamics of the futures curve and spot price, and accounts for the main stylized …
Persistent link: https://www.econbiz.de/10011857266
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The impact of delivery risk on optimal production and futures hedging
Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002
Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers are typically allowed to … choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price … additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …
Persistent link: https://www.econbiz.de/10010324071
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Credit securitization and credit derivatives : financial instruments and the credit risk management of middle market commercial loan portfolios
Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd - 1998
Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and...
Persistent link: https://www.econbiz.de/10009768847
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The impact of delivery risk on optimal production and futures hedging
Adam-Müller, Axel F. A.; Kit, Pong Wong - 2002
Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers are typically allowed to … choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price … additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …
Persistent link: https://www.econbiz.de/10011544373
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
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Risk Minimizing Hedging of Crude-Oil Options : Theory and Empirical Performance
Ewald, Christian-Oliver - 2011
We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging … strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump …
Persistent link: https://www.econbiz.de/10013125115
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Deriving the Minimal Amount of Risk Capital for P/L Insurance Companies Utilizing ALM
Schmautz, Matthias - 2013
We present a model for P/L insurance companies based on Asset-Liability-Management (ALM). We show analytically for multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining the firm's asset allocation when including a ruin...
Persistent link: https://www.econbiz.de/10013091567
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Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Leung, Tim - 2019
strategies and performances when using different derivatives, such as futures and options …
Persistent link: https://www.econbiz.de/10012901815