derivatives is unconstrained and manager compensation itself induces a non-linear payoff. The shape of the optimal Sharpe ratio …

This study investigates the empirical relationship between the use of derivatives by Korean banks and risk. In doing so …' derivatives are, on average, associated with two measures of risk in negative ways. The evidence is consistent with the …

derivatives. We find a quadratic relation between asymmetric information and a firm's risk management activities. In particular …

This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We … propose the following theorem. A market for derivatives, which has all the features of a perfect market except completeness … fundamental values of derivatives, and that extreme price movements like price peaks or crashes may have endogenous origin and …

This book analyzes in depth all major derivatives debacles of the last half century including the multi-billion losses …), Soci¨¦t¨¦ G¨¦n¨¦rale (2008) and AIG (2008). It unlocks the secrets of derivatives by telling the stories of institutions … unchecked fraud brought their house down. Should derivatives be feared ¡°as financial weapons of mass destruction¡± or hailed as …

arises, the debate is on. Derivatives especially, which are among the major innovations of the past thirty years, cause deep … concerns. In this paper, we propose a survey of the academic literature that has addressed the threats posed by derivatives. An … initial issue is the impact of derivatives on the volatility of the underlying assets, but empirical findings do not suggest …

Credit Derivatives are securities that offer protection against credit or default risk of bonds or loans. The credit … derivatives emerging market has grown rapidly and credit derivatives are widely used. This paper describes the emerging credit … derivatives market structure. The current market activity is analyzed through elementary pricing dynamics and the study of the …