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The Usage of Derivatives in Financial Risk Management by Companies in Bosnia and Herzegovina
Kozarevic, Emira; Kesetovic, Izudin; Jukan, Meldina … - In: Economic Review: Journal of Economics and Business 10 (2012) 2, pp. 59-72
The main objective of this paper is to determine the scope of the use of derivatives by companies in B&H for specific … purposes of financial risk management. The aim is to provide a comparative analysis with companies from Slovenia and Croatia in … order to determine if companies in B&H use the hedging instruments appropriately, and to suggest possible improvements of …
Persistent link: https://www.econbiz.de/10011985070
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Determinants of power spreads in electricity futures markets : a multinational analysis
Spodniak, Petr; Bertsch, Valentin - 2017
The growth in variable renewable energy (vRES) and the need for flexibility in power systems go hand in hand. We study how vRES and other factors, namely the price of substitute fuels, power price volatility, structural breaks, and seasonality impact the hedgeable power spreads (profit margins)...
Persistent link: https://www.econbiz.de/10011763015
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Credit derivatives and bank credit supply
Hirtle, Beverly J. - In: Journal of financial intermediation 18 (2009) 2, pp. 125-150
Persistent link: https://www.econbiz.de/10003832412
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Effects of SFAS 133 on the Risk Relevance of Accounting Measures of Banks’ Derivative Exposures
Ahmed, Anwer S. - 2012
We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative … classified as trading after SFAS 133. For these banks, trading derivative exposures offset non-derivative trading exposures to a … relevance of accounting measures of derivative exposures to bond investors and benefited banks in terms of reducing their cost …
Persistent link: https://www.econbiz.de/10013115557
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How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey?
Yildirim, Burcu Deniz - 2012
Recent developments in Turkish derivatives markets demonstrate the increasing importance of risk management not only for individual banks but also for the entire system. In this context, this study analyzes the counterparty credit risk of OTC derivatives. The analysis is based on a hypothetical...
Persistent link: https://www.econbiz.de/10013102354
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An Integrated OTC Derivatives Risk Capital Framework
Lou, Wujiang - 2019
Bilateral derivatives valuation is subject to counterparty credit risk (CCR) in that a counterparty could jump to default or its credit spread could vary over time. In the nomenclature of risk management, the former is called CCR exposure and the later leads to credit valuation adjustment (CVA)....
Persistent link: https://www.econbiz.de/10012898160
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Managing Counterparty Credit Risk Via BSDEs
Lesniewski, Andrew - 2016
We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE. Depending on...
Persistent link: https://www.econbiz.de/10012985088
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Hedging with Credit Derivatives in Response to Operational Risk in Supply Chain Hierarchical
Hu, Nan - 2018
In this paper, using newly available CDS positions data compiled from DTCC and the supply chain hierarchical position obtained from networking methodology, we examine whether and how investors can use CDS contracts to manage the heightened operational risk due to upstream supply chain...
Persistent link: https://www.econbiz.de/10012929386
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A Study on The Impact of Derivatives on Bank Risk and Profitability
Ahmed, Rida - 2021
This paper examines the impact of derivatives on bank risk and profitability, with a sample of 25 banks from developed markets during the period 2015 to 2019. The main findings suggest that banks’ use of financial derivatives has decreased bank risk. The major variables include Total Risk,...
Persistent link: https://www.econbiz.de/10013237997
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Possibilities for improvement of risk management practices in the coal mining industry of the Federation of Bosnia and Herzegovina
Kozarević, Safet; Kurtić, Adil; Kozarević, Emira - In: Economic review : journal of economics & business 12 (2014) 2, pp. 3-19
Current business environment and growing exposure to a wide range of risks require companies (especially the large ones … central point of the analysis includes companies in the coal industry of the Federation of Bosnia and Herzegovina (F B … is clear that management of large companies have to take care of risk management culture development and seek adequate …
Persistent link: https://www.econbiz.de/10012011253