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A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil
Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468
Persistent link: https://www.econbiz.de/10013345666
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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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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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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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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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Risk management in financial markets
Panz, Sven - 2020
Persistent link: https://www.econbiz.de/10012254516
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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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Wrong-way risk of interest rate instruments
Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44
Persistent link: https://www.econbiz.de/10012100575
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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 …
Persistent link: https://www.econbiz.de/10011883272
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Joint price and volumetric risk in wind power trading : a copula approach
Pircalabu, A.; Hvolby, T.; Jung, J.; Høg, E. - In: Energy economics 62 (2017), pp. 139-154
Persistent link: https://www.econbiz.de/10011748068