We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company … correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging …

in a risk measurement context is less developed. This paper uses a scheme from probability theory and statistics … suitable for revaluing instruments as required to determine a portfolio's Value-at-Risk and Expected Shortfall. Time series of …, Gaussian Process Regression leads to risk figures identical to those from full revaluation and outperforms Taylor expansion …

We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly … futures returns, indicating that variance risk is unspanned by commodity futures …

portfolio choice and recently proposed conditional risk metrics. Finally, we show that the distribution provides a good …

significantly positively associated with future realized stock returns and also significantly correlates with commonly used risk …

find that both stock return volatility and idiosyncratic risks increase significantly as stock returns increase after …

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of … ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more …