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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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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 …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging stock sector exposures compared with the TAIEX and Taiwan 50 futures. Simultaneous hedge using both NFNE and MSCI …
Persistent link: https://www.econbiz.de/10011883272
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Does commodity hedging with derivatives reduce stock price volatility?
Wang, Ningli; Zhou, Qichong - In: Finance research letters 50 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10014245392
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Risk management through financial hedging in inventory systems with stochastic price processes
Canyakmaz, Caner; Özekici, Süleyman; Karaesmen, Fikri - In: International journal of production economics 270 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015049188
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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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Position limits for cash-settled derivative contracts
Dutt, Hans R.; Harris, Lawrence E. - In: The journal of futures markets 25 (2005) 10, pp. 945-965
Persistent link: https://www.econbiz.de/10003185585
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Dynamic spillover effects in futures markets : UK and US evidence
Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418
Persistent link: https://www.econbiz.de/10011624538
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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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