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Efficient hedging : cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - 1999
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …
Persistent link: https://www.econbiz.de/10009579176
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Sharing R&D Risk in Healthcare via FDA Hedges
Jørring, Adam - 2017
The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...
Persistent link: https://www.econbiz.de/10012959215
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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …
Persistent link: https://www.econbiz.de/10012944310
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Measuring the Model Risk of Quadratic Risk Minimizing Hedging Strategies with an Application to Energy Markets
Detering, Nils - 2014
Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … (Detering and Packham, 2013). These measures rely on the assumption that the model used for hedging represents a complete … is present when hedging options on energy futures with a simplified model compared to a model that better fits the …
Persistent link: https://www.econbiz.de/10013058199
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A Leland Model for Delta Hedging in Central Risk Books
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - 2022
Using a tractable extension of the Leland (1985) model, we study how a delta-hedging strategy can realistically be …
Persistent link: https://www.econbiz.de/10013295390
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Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...
Persistent link: https://www.econbiz.de/10005858385
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Pairing Market Risk and Credit Risk
Figuerola-Ferretti, Isabel - 2011
This study uses a comprehensive data set of VIX and CDS markets to propose pairs trading strategies that represent the dynamic relation between market risk and credit risk in an equilibrium framework with a common non stationary factor. This involves the analysis of price discovery between VIX...
Persistent link: https://www.econbiz.de/10013128397
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Risk and Beta Anatomy in the Hedge Fund Industry
Savona, Roberto - 2012
Using a Bayesian time‐varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. In such a setting, we impose a structure on fund returns, betas...
Persistent link: https://www.econbiz.de/10013116243
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Profit Index - Pertinent Risk of Financial Investment
Kauffmann, Amitay - 2012
Investors utility has been mathematically modeled at 1738 by Daniel Bernoulli as an attempt to capture investors preferences to lottery outcomes. Ever since the analysis of decision making under uncertainty has again become a major focus of interest. Kahneman and Tversky in 1979 suggested a more...
Persistent link: https://www.econbiz.de/10013096329
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All Risks Matter
Li, Weiping - 2012
We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov (2009) and correct the previous authors omission of certain components which contribute significantly to index option expected returns. This study provides a mathematically...
Persistent link: https://www.econbiz.de/10013103853