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Hedging Size Risk : Theory and Application to the US Gas Market

Roncoroni, Andrea - 2017

Many corporate commitments exhibit a combined financial exposure to both market prices and idiosyncratic size components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint fluctuations in price and size terms. The hedge is sought...

Persistent link: https://www.econbiz.de/10012969111

Static Mitigation of Volumetric Risk

Id Brik, Rachid - 2015

We consider the problem of designing a financial instrument aimed at mitigating the joint exposure to random price and volume delivery fluctuations of energy-linked commitments. We formulate a functional optimization problem over a set of regular pay-off functions: one is written on energy...

Persistent link: https://www.econbiz.de/10013012273

Market liquidity and market making : the case of fixed income and low interest rates

Strøm Kristoffersen, Mark; Pedersen, Jesper - 2015

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a theoretical model for market making with inventory...

Persistent link: https://www.econbiz.de/10011439590

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

duration analysis, viz. whenestimating the relationship between interest rates andfinancial market variables like equity or …

Persistent link: https://www.econbiz.de/10011303868

The Duration of Bank Retail Interest Rates

Craig, Ben R. - 2011

functional form of the hazard of changing a price, the effect of firm and market characteristics on the duration of prices, and … determinants of the duration of retail interest rates are the cumulated change in the money market interest rates and the policy …

Persistent link: https://www.econbiz.de/10013133627

Measuring Interest Rate Risk Using a Duration Vector

Jaeger-Ambrozewicz, Manfred - 2017

The duration of a bond approximately measures the interest rate risk caused by parallel shifts of the yield curve. This … paper uses a generalization of the duration suggested by Diebold et al. (2006a), that takes the variations of the level, the … into account the approach considered here is very intuitive as it is similar to the classical duration. A case study …

Persistent link: https://www.econbiz.de/10012960612

How do banks and households manage interest rate risk? : evidence from the Swiss mortgage market

Basten, Christoph; Guin, Benjamin; Koch, Cathérine - 2017

We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...

Persistent link: https://www.econbiz.de/10011721608

Benchmark yield undershooting in the E.M.U.

Antzoulatos, Angelos A. - 2002

With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially...

Persistent link: https://www.econbiz.de/10010295513

International Portfolio Holdings and Swiss Franc Asset Returns

Kugler, Peter; Weder, Beatrice - 2004

Persistent link: https://www.econbiz.de/10011390587

Kapitalwertmethode bei nicht-flacher Zinsstrukturkurve

Kohn, Wolfgang - 2013

In der einfachen finanzmathematischen Welt herrscht ein konstanter Zinssatz. Wird die Modellwelt hinsichtlich einer nicht flachen Zinsstruktur abgeändert, so sollten die Barwertfaktoren um zwischenzeitliche Zinszahlungen (Zinseszinsen) neutralisiert werden. Die Berechnung der Barwertfaktoren...

Persistent link: https://www.econbiz.de/10010332873