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New evidence on the information and predictive content of the Baltic Dry Index

Apergis, Nicholas; Payne, James E. - In: International Journal of Financial Studies 1 (2013) 3, pp. 62-80

This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985-2012, the empirical analysis documents the joint...

Persistent link: https://www.econbiz.de/10010421235

Sovereign credit risk and stock markets: Does the markets' dependency increase with financial Distress?

da Silva, Paulo Pereira - In: International Journal of Financial Studies 2 (2014) 1, pp. 145-167

This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...

Persistent link: https://www.econbiz.de/10010421255

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010421275

A welfare analysis of capital insurance

Panttser, Ekaterina; Tian, Weidong - In: Risks 1 (2013) 2, pp. 57-80

This paper presents a welfare analysis of several capital insurance programs in a rational expectation equilibrium setting. We first explicitly characterize the equilibrium of each capital insurance program. Then, we demonstrate that a capital insurance program based on aggregate loss is better...

Persistent link: https://www.econbiz.de/10010421280

Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

da Silva, Paulo Pereira; Rebelo, Paulo Tomaz; Afonso, … - In: Economics: The Open-Access, Open-Assessment E-Journal 8 (2014) 2014-39, pp. 1-27

Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...

Persistent link: https://www.econbiz.de/10010435641

Valuation and investment profession

Dedi, Lidija; Giraudon, Philippe - In: UTMS Journal of Economics 4 (2013) 2, pp. 93-100

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

Persistent link: https://www.econbiz.de/10010435930

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 1-25

An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...

Persistent link: https://www.econbiz.de/10011843221

Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models

Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 74-96

The valuation of options and many other derivative instruments requires an estimation of exante or forward looking … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices …

Persistent link: https://www.econbiz.de/10011843228

Multiperiod hedging using futures: Mean reversion and the optimal hedging path

Rao, Vadhindran K. - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 133-161

This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures … markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the … objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a …

Persistent link: https://www.econbiz.de/10011843230

Revisiting structural modeling of credit risk: Evidence from the credit default swap (CDS) market

Huang, Zhijian; Luo, Yuchen - In: Journal of Risk and Financial Management 9 (2016) 2, pp. 1-20

The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...

Persistent link: https://www.econbiz.de/10011843268