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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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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
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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …
Persistent link: https://www.econbiz.de/10011883272
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A verification model to capture option risk and hedging based on a modified underlying beta
Shen, Chuan-He; Liu, Yang - In: The journal of risk model validation 15 (2021) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10014540158
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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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What's vol got to do with it
Drechsler, Itamar (contributor); Yaron, Amir (contributor) - 2008 - Current draft: May 2008
Persistent link: https://www.econbiz.de/10003727636
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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'Noise-trader risk' and Bayesian market making in FX derivates : rolling loaded dice?
Ulibarrí, Carlos A.; Anselmo, Peter C.; Hovsepian, Karen; … - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 268-279
Persistent link: https://www.econbiz.de/10003901064
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What's vol got to do with it
Drechsler, Itamar; Yaron, Amir - 2010 - Current draft: December 2009
Persistent link: https://www.econbiz.de/10003971762