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On the Refracted-Reflected Spectrally Negative Levy Processes

Pérez, José-Luis - 2019

We study a combination of the refracted and reflected Levy processes. Given a spectrally negative Levy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the...

Persistent link: https://www.econbiz.de/10012870483

A severity function approach to scenario selection

Mokinski, Frieder - 2017

The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...

Persistent link: https://www.econbiz.de/10011755965

Detecting excessive credit growth : an approach based on structural counterfactuals

Saß, Magnus - 2024

The Basel credit-to-GDP gap is the single most popular measure of excessive credit growth and the financial cycle in general. It is based, however, on a purely statistical understanding of excessiveness: Growth is excessive if the credit-to-GDP ratio (i.e. the ratio of credit to nominal GDP) is...

Persistent link: https://www.econbiz.de/10015053486

Risk Management with Expectiles

Bellini, Fabio - 2014

Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been recently suggested as an alternative to quantiles (VaR) and to Expected Shortfall (ES). In this work we review their known properties, we discuss their financial meaning, we compare them with VaR and ES and we...

Persistent link: https://www.econbiz.de/10013049786

Hedge Filtering

Hammarlid, Ola; Höök, Josef - 2021

In this paper we present a method for calculating the entire hedge surface of a derivative who’s future underlying asset has been simulated by a market simulator for example with the Monte Carlo method. Our method is built from work on penalized filtering techniques and is applied on a grid of...

Persistent link: https://www.econbiz.de/10013228561

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10013113663