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Pricing of Catastrophe Risk and the Implied Volatility Smile
Ben Ammar, Semir - 2016
between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …
Persistent link: https://www.econbiz.de/10012984717
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Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link
Montero, José-María; Naimy, Viviane; Farraj, Nermeen Abi - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014528750
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Pricing of catastrophe risk and the implied volatility smile
Ben Ammar, Semir - In: Essays on alternative investments and insurance, (pp. 117-176). 2016
Die vorliegende Dissertation besteht aus vier Teilen, die sich mit den Themen Alternative Investments, Katastrophenrisiko und Asset Pricing im Versicherungskontext auseinandersetzen. Mithilfe verschiedener Finanzinstrumente (Aktien, Fonds und Optionen) wird die Bilanz eines...
Persistent link: https://www.econbiz.de/10011540169
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The impact of exchange rate policy uncertainty shock on Chinese energy firms' risk-taking
Li, Xiao-Lin; Qiu, Guojing; Ding, Hui - In: Energy economics 105 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013201949
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Dynamics of Tokyo Electric Power Company and the Nikkei : 1985 to 2016 including the Fukushima disaster
Rey, Serge; Nivoix, Sophie - In: Journal of economic integration 33 (2018) 1, pp. 979-1010
Persistent link: https://www.econbiz.de/10011903552
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An empirical investigation into exchange regime choice and exchange rate volatility
Berger, Helge; Sturm, Jan-Egbert; Haan, Jakob de - 2000
We test a simple model of exchange rate regime choice with data for non-OECD countries covering the period 1980-94. We find the variance of output at home and in potential target countries as well as the correlation between home and foreign real activity are powerful and robust predictors of...
Persistent link: https://www.econbiz.de/10001473991
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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857
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Do market prices aggregate information about macroeconomic uncertainty (or risk)?
Cover, James Peery; Lee, Hye-Jin - In: Applied economics 47 (2015) 40/42, pp. 4511-4534
Persistent link: https://www.econbiz.de/10011295329
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Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …
Persistent link: https://www.econbiz.de/10011866456
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Endogenous second moments : a unified approach to fluctuations in risk, dispersion, and uncertainty
Straub, Ludwig; Ulbricht, Robert - 2016
Persistent link: https://www.econbiz.de/10012216957