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Introduction of weather‐derivative concepts: perspectives for Portugal

Ghiulnara, Alieva; Viegas, Cristina - In: The Journal of Risk Finance 11 (2010) 1, pp. 9-19

Purpose – The purpose of this paper is to present an overview of weather derivatives markets and to highlight the importance of the contributing factors for weather risk management such as weather sensitivity, weather forecast, and economic growth. In this paper, the prospective of using...

Persistent link: https://www.econbiz.de/10014901523

Safety‐first portfolio optimization after September 11, 2001

Haque, Mahfuzul; Varela, Oscar - In: The Journal of Risk Finance 11 (2010) 1, pp. 20-61

Purpose – The purpose of this paper is to apply safety‐first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....

Persistent link: https://www.econbiz.de/10014901524

Do investors really value derivatives use? Empirical evidence from France

Ben Khediri, Karim - In: The Journal of Risk Finance 11 (2010) 1, pp. 62-74

Purpose – The purpose of this paper is to examine the valuation effect of derivatives use in the French market using a sample of 250 non‐financial firms over the period 2000‐2002. Design/methodology/approach – The approach taken is application of linear regression framework and panel...

Persistent link: https://www.econbiz.de/10014901525

Risk management in a pure unit root

Davidsson, Marcus - In: The Journal of Risk Finance 11 (2010) 2, pp. 224-234

Purpose – The purpose of this paper is to communicate the science and art of stop losses. Design/methodology/approach – This paper uses theoretical reasoning, Monte Carlo simulation, and empirical data to support and validate the claims made. Findings – The paper expands on the reasoning...

Persistent link: https://www.econbiz.de/10014901537

Where ignorance is bliss: the “dark corner” of risk classification

Powers, Michael R. - In: The Journal of Risk Finance 11 (2010) 4, pp. 353-357

Purpose – The paper aims to explore a risk‐finance context in which less information may be preferable to more information. Design/methodology/approach – Insurance companies collect a variety of information on potential policyholders to support two fundamental components of risk...

Persistent link: https://www.econbiz.de/10014901547

Weather derivatives, price forwards, and corporate risk management

Wang, Mulong; Wen, Min‐Ming; Yang, Charles C. - In: The Journal of Risk Finance 11 (2010) 4, pp. 358-376

price forwards in a unified theoretical framework. It also provides a no‐arbitrage approach to price weather derivatives … level is an essential factor determining the choice between price forwards and weather derivatives. In some cases; weather … derivatives outperform price forwards, while in some other cases; a joint use of both instruments is optimal, depending on the …

Persistent link: https://www.econbiz.de/10014901548

Transferring home price risk to investors from individual borrowers

Sharma, Dhruv - In: The Journal of Risk Finance 11 (2010) 4, pp. 416-423

mortgage product to transfer the home price volatility risk explicitly to investors and portfolio managers. Originality … the industry to implement the concept. The recent credit crisis highlights the problem of unhedged home price volatility … to explicitly transfer the risk of home price volatility to investors and mortgage lenders. …

Persistent link: https://www.econbiz.de/10014901552

Diversification, hedging, and “pacification”

Powers, Michael R. - In: The Journal of Risk Finance 11 (2010) 5, pp. 441-445

Purpose – The purpose of this paper is to explore the roles of diversification, hedging, and a third risk‐reduction process – “pacification” – in risk finance. Design/methodology/approach – After briefly reviewing the concepts of diversification and hedging, a simple mathematical...

Persistent link: https://www.econbiz.de/10014901553

Airfare price insurance: a real option model

Jain, Adishwar K.; Cox, Raymond A.K. - In: The Journal of Risk Finance 12 (2011) 1, pp. 5-14

passengers to cope with price risk. Furthermore, the premiums charged for such airfare price insurance contracts can augment … assortment of US domestic and international flights from four airline carriers. Volatility in airfares was shown using the price … price insurance contracts. Findings – Airfare price insurance contracts affordability was demonstrated ranging from 1.55 to …

Persistent link: https://www.econbiz.de/10014901560

Prepayment risk and bank performance

Fayman, Alex; He, Ling T. - In: The Journal of Risk Finance 12 (2011) 1, pp. 26-40

Purpose – The purpose of this paper is to identify effects of prepayment risk on performance of commercial banks in the USA. Understanding how various risks impact banks' performance can help to improve performance of financial institutions and better estimate risk premia charged by banks on...

Persistent link: https://www.econbiz.de/10014901562