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Firm Profitability, Inventory Volatility, and Capital Structure
Birge, John R. - 2011
Traditional theories of capital structure imply a consistent relationship between firm profitability and firm leverage. Empirical data, however, suggest that the relationship is not monotonic. In the cross-section of firms, non-profitable firms become significantly more leveraged as losses...
Persistent link: https://www.econbiz.de/10013121259
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On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics
Trottier, Denis-Alexandre - 2018
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current note …
Persistent link: https://www.econbiz.de/10012922821
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Credit Spreads, Leverage and Volatility : a Cointegration Approach
Maglione, Federico - 2020
This work documents the existence of a cointegration relationship between credit spreads, leverage and equity volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these variables is essential to correctly explain credit spread...
Persistent link: https://www.econbiz.de/10012837053
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Deep hedging under rough volatility
Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …
Persistent link: https://www.econbiz.de/10012800441
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Stochastic Models for Risk Estimation in Volatile Markets : A Survey
Stoyanov, Stoyan V. - 2010
Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss how these three essential components can be combined...
Persistent link: https://www.econbiz.de/10013134877
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Models with short-term variations and long-term dynamics in risk management of commodity derivatives
Guo, Zi-Yi - 2017 - This version: February 2017
We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...
Persistent link: https://www.econbiz.de/10011721302
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Fair Value Television : Sales Volatility, Business Risk, and Financial Leverage
Meric, Gulser - 2013
Business risk and financial risk are among the most important concepts in corporate finance. The total risk of a corporation is the sum of its business risk and financial risk. Business risk is the risk of the corporation before the financing decision. It is the uncertainty inherent in the...
Persistent link: https://www.econbiz.de/10013090717
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Corporate Debt Maturity and Future Firm Performance Volatility
Adachi‐Sato, Meg - 2018
We propose a simple idea that corporate debt maturity should serve as a good indicator of future firm performance volatility. We show in a simple two-period model that the riskiness of corporate investment is a decreasing function of corporate debt maturity. If “observable” corporate debt...
Persistent link: https://www.econbiz.de/10012937149
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Optimal Volatility, Covenants and Cost of Capital Under Basel III Bail-In
Hori, Kenjiro - 2015
This paper investigates three consequences of the new financial regulation: the agency costs, the monitoring costs and the effect on banks' cost of capital. For the first, the shareholders' behaviour is analysed as a trade-off between the value of the bank and its volatility by using an...
Persistent link: https://www.econbiz.de/10013025495
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Measuring risk information
Smith, Kevin; So, Eric - In: Journal of accounting research 60 (2022) 2, pp. 375-426
Persistent link: https://www.econbiz.de/10013190954