Relevant bibliographies by topics / Risk analysis. Hedging (Finance)

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Academic literature on the topic 'Risk analysis. Hedging (Finance)'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Risk analysis. Hedging (Finance)"

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Shanker, Latha. "Margin Requirements and Hedging Effectiveness: An Analysis in a Risk-Return Framework." Journal of Accounting, Auditing & Finance 7, no. 3 (1992): 379–93. http://dx.doi.org/10.1177/0148558x9200700311.

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The wave of innovation that swept the field of finance in the last fifteen years has resulted in the creation of different instruments that could serve effectively as substitutes in performing different functions. One important function, that of hedging risk, may be performed by futures and options. The regulations of the markets in which these instruments trade are important determinants of the competitiveness of the different substitutes. One such important regulation is that of the margin requirement of futures and options markets. This paper studies the effect of an increase in the margin
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D’Amato, Valeria, Mariarosaria Coppola, Susanna Levantesi, Massimiliano Menzietti, and Maria Russolillo. "A longevity basis risk analysis in a joint FDM framework." Journal of Risk Finance 18, no. 1 (2017): 55–75. http://dx.doi.org/10.1108/jrf-03-2016-0030.

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Purpose The improvements of longevity are intensifying the need for capital markets to be used to manage and transfer the risk through longevity-linked securities. Nevertheless, the difference between the reference population of the hedging instrument and the population of members of a pension plan, or the beneficiaries of an annuity portfolio, determines a significant heterogeneity causing the so-called basis risk. In particular, it is shown that if insurers use financial instruments based on national indices to hedge longevity risk, this hedge can become imperfect. For this reason, it is fun
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Taušer, J., and R. Čajka. "Hedging techniques in commodity risk management." Agricultural Economics (Zemědělská ekonomika) 60, No. 4 (2014): 174–82. http://dx.doi.org/10.17221/120/2013-agricecon.

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The article focuses on selected aspects of risk management in agricultural business with the aim to discuss and compare different hedging methods which are relevant for managing the commodity risks associated with agricultural production. The article provides a broader context for understanding the risks and possible responses to it and analyses four basic hedging strategies – commodity futures, forward contracts, options and option strategies. The substance, advantages and disadvantages of each hedging technique are pointed out and compared to each other with the conclusion that the
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Chong, Lee-Lee, Xiao-Jun Chang, and Siow-Hooi Tan. "Determinants of corporate foreign exchange risk hedging." Managerial Finance 40, no. 2 (2014): 176–88. http://dx.doi.org/10.1108/mf-02-2013-0041.

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Purpose – The purpose of this study is to delineate the factors influencing the use of financial derivatives by non-financial firms in managing their exchange rate exposure. In total, 219 non-financial firms are surveyed in regard to their financial hedging decision. Design/methodology/approach – This study is conducted via a survey and the questionnaires were sent to the treasurers and financial controller of the firms. Descriptive analysis is employed to assess the profiles of the respondents. Then, factor analysis is carried out to determine the factors influencing the use of financial deri
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Zhu, Wenjun, Ken Seng Tan, Lysa Porth, and Chou-Wen Wang. "SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH." ASTIN Bulletin 48, no. 02 (2018): 779–815. http://dx.doi.org/10.1017/asb.2018.6.

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AbstractAdverse weather-related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Lévy subordinated hierarchical Archimedean copula model in modelling the spatial dependence of weather risk to reduce basis risk. The analysis shows that the Lévy subordinated hierarchical Archimedean copula model can improve the hedging performance through more accurate modelling of the dependence structure of we
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LIU, WEN-QIONG, and WEN-LI HUANG. "HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH." International Journal of Theoretical and Applied Finance 22, no. 02 (2019): 1850057. http://dx.doi.org/10.1142/s0219024918500577.

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Hedging of credit derivatives, especially the Collateralized Debt Obligations (CDOs), is the prerequisite of risk management in financial market. Since both spread risk and default risk exist, the models in existing literature resort to the incomplete-market theory to derive the hedging strategies. From another point of view, the construction of hedging strategies of CDO might be regarded as the process of forecasting the changes in value of CDO by the changes in value of hedging instruments. Based on this idea, this paper proposes an alternative hedging approach via the combined forecasting a
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Ankirchner, Stefan, Peter Kratz, and Thomas Kruse. "Hedging Forward Positions: Basis Risk Versus Liquidity Costs." SIAM Journal on Financial Mathematics 4, no. 1 (2013): 668–96. http://dx.doi.org/10.1137/130907045.

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Ceci, Claudia, Katia Colaneri, Rüdiger Frey, and Verena Köck. "Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk." SIAM Journal on Financial Mathematics 11, no. 3 (2020): 788–814. http://dx.doi.org/10.1137/19m1283045.

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Ranganathan, Thiagu, and Usha Ananthakumar. "Does hedging in futures market benefit Indian farmers?" Studies in Economics and Finance 31, no. 3 (2014): 291–308. http://dx.doi.org/10.1108/sef-12-2012-0143.

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Purpose – The purpose of this paper is to perform an analysis of potential benefits from usage of the futures markets for the farmers. The national commodity exchanges were established in India in the year 2003-2004. Though there has been a spectacular growth in trading volumes in these exchanges, participation of farmers in these markets has been very low. Efforts are being made to increase the awareness and participation of farmers in these markets. As such efforts are being made, it is critical to analyse the potential benefits from usage of the futures markets for the farmers. Our study pe
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Engle, Robert F., Stefano Giglio, Bryan Kelly, Heebum Lee, and Johannes Stroebel. "Hedging Climate Change News." Review of Financial Studies 33, no. 3 (2020): 1184–216. http://dx.doi.org/10.1093/rfs/hhz072.

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Abstract We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations in climate news both in sample and out of sample. We discuss multiple directions for future r
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Dissertations / Theses on the topic "Risk analysis. Hedging (Finance)"

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Argesanu, George Nicolae. "Risk analysis and hedging and incomplete markets." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1079923360.

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Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains x, 86 p.; also includes graphics Includes bibliographical references (p. 84-86). Available online via OhioLINK's ETD Center
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Agenbag, André. "Using real option analysis to manage project risk." Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53707.

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Thesis (MBA)--Stellenbosch University, 2003.<br>ENGLISH ABSTRACT: This study project aims to use "Real Option Analysis" as a tool to translate financial hedging strategies into business strategies that can be used to hedge business projects against their associated risks. Financial investments are often hedged by means of further investment in financial option structures. These option structures give the investor the option (and sometimes the obligation) to change the constituents of his original investment, depending on changes in the external environment. A well engineered option stru
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Ayoub, Sherif El-Sayed. "Market risk management in Islamic finance : an economic analysis of the rationale, permissibility and usage of derivative hedging instruments." Thesis, University of Edinburgh, 2013. http://hdl.handle.net/1842/8031.

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The examination of the topic of market risk management in Islamic finance is a complex endeavour. At a basic level, the subject matter, being multifarious in a manner that mixes religion and economics, requires the conjoining of religious faith with scientific objectivity in order to ascertain the truth contained in the scripture as it pertains to the Mua’amalat (dealings between individuals) matter of entering into financial contracts with others to manage market risk exposures. Moreover, the complexity is compounded due to the need to disentangle the ambiguity that has beset the discourse on
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Khan, Majid Jamal. "Empirical analysis of risk taking and hedging behaviors of French firms (2004-2009)." Rennes 1, 2012. http://www.theses.fr/2012REN1G021.

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Cette thèse analyse empiriquement les comportements de prise de risque et de couverture de 45 sociétés françaises non financières et cotées sur une période s'échelonnant de 2004 à 2009 en utilisant des données de panel recueillies pour une large part manuellement. La thèse comprend trois études empiriques. La première étude analyse les comportements des entreprises induits par les incitations des dirigeants à prendre des risques du fait de leurs avoirs en options. On trouve que les dirigeants qui détiennent plus d'options que d'actions dans leurs portefeuilles mettront en œuvre des politiques
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Fofana, Lazeni. "Modélisation, prévision et couverture du risque de contagion financière." Thesis, Montpellier, 2015. http://www.theses.fr/2015MONTD028.

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Cette thèse porte sur la modélisation, la prévision et la couverture du risque de contagion financière. Après une présentation générale des fondements théoriques et des mécanismes de propagation relatifs à la contagion financière, nous introduisons une modélisation fondée sur les modèles de cointégration non linéaire et de causalité non linéaire dans lesquels, les variables et le terme d’erreur du modèle à correction d’erreur obéissent à la dynamique de processus auto-régressifs à changement de régime de type TAR et M-TAR pour capter l’effet de contagion. Une extension de cette modélisation au
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Wan, Chung-kum. "Cross hedging of foreign exchange risk." Click to view the E-thesis via HKUTO, 2000. http://sunzi.lib.hku.hk/hkuto/record/B31954741.

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Wan, Chung-kum, and 尹頌琴. "Cross hedging of foreign exchange risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954741.

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Gould, John. "The joint hedging and leverage decision." University of Western Australia. School of Economics and Commerce, 2008. http://theses.library.uwa.edu.au/adt-WU2009.0038.

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The validating roles of hedging and leverage as value-adding corporate strategies arise from their beneficial manipulation of deadweight market impositions such as taxes and financial distress costs. These roles may even be symbiotic in their value-adding effects, but they are antithetic in their effects on company risk. This study's modelling analysis indicates that hedging and leverage do interact for net benefit to company value; for sensible base-case exogenous parameters, the optimal (value-maximising) joint hedging and leverage strategy increases company value by about 4.0% compared to t
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Spilda, Juraj. "On sources of risk in quadratic hedging and incomplete markets." Thesis, City, University of London, 2017. http://openaccess.city.ac.uk/18527/.

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This thesis is divided into three chapters, each dealing with a different aspect of market incompleteness and its consequences on quadratic hedging strategies and hedging errors. The first chapter studies the effects of market incompleteness due to discrete time trading. We derive the asymptotics (in trading frequency) of the quadratic hedging error of a digital option and obtain a correction to the classical granularity formula, showing that for discontinuous payoffs, the second order term driven by the Cash Gamma remains highly significant. We also show that the discrete-time quadratic hedgi
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Nance, Deana R. (Deana Reneé). "The Determinants of Off-Balance-Sheet Hedging in the Value-Maximizing Firm: an Empirical Analysis." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331494/.

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The observed use (and indeed tremendous growth in volume) of forward contracts, futures, options, and swaps as hedges against interest rate risk, foreign exchange risk, and commodity price risk indicates that hedging does add value to the firm. The purpose this research was to empirically examine the value of off-balance-sheet hedging. The benefits of off-balance-sheet hedging were found to accrue from reducing (1) taxes, (2) expected financial distress costs, and (3) agency costs. Taxes. Hedging reduces the firm's tax liability by reducing the variability in taxable income. The value of hedgi
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Books on the topic "Risk analysis. Hedging (Finance)"

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Financial market risk: Measurement & analysis. Routledge, 2003.

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Market risk analysis. Wiley, 2008.

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Financial hedging. Nova Science Publishers, 2009.

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Condamin, Laurent. Risk quantification: Management, diagnosis and hedging. John Wiley, 2006.

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Daniel, James. Hedging government oil price risk. International Monetary Fund, Fiscal Affairs Department, 2001.

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Bobin, Christopher A. Agricultural options: Trading, risk management, and hedging. Wiley, 1990.

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Guo, Hui. Is foreign exchange delta hedging risk priced? Federal Reserve Bank of St. Louis, 2004.

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Stephens, John J. The business of hedging: Sound risk management without the rocket-science. Financial Times Prentice Hall, 2000.

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L, Jones Donald, ed. Hedging foreign exchange: Converting risk to profit. Wiley, 1987.

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Satyanarayan, Sudhakar. Hedging cotton price risk in Francophone African countries. World Bank, 1993.

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Book chapters on the topic "Risk analysis. Hedging (Finance)"

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Willsher, Richard. "Currency Risk and Hedging Techniques." In Export Finance. Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_16.

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Englund, Peter, Min Hwang, and John M. Quigley. "Hedging Housing Risk." In New Directions in Real Estate Finance and Investment. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-5988-4_9.

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Hult, Henrik, Filip Lindskog, Ola Hammarlid, and Carl Johan Rehn. "Quadratic Hedging Principles." In Risk and Portfolio Analysis. Springer New York, 2012. http://dx.doi.org/10.1007/978-1-4614-4103-8_3.

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Davis, Mark H. A. "Optimal Hedging with Basis Risk." In From Stochastic Calculus to Mathematical Finance. Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/978-3-540-30788-4_8.

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Harcek, Martin. "Risk Adjusted Dynamic Hedging Strategies." In Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-05014-0_27.

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Chevallier, Julien. "Risk-Hedging Strategies and Portfolio Management." In Econometric Analysis of Carbon Markets. Springer Netherlands, 2012. http://dx.doi.org/10.1007/978-94-007-2412-9_5.

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Thompson, Howard E. "The Methodology for Risk Analysis." In Regulatory Finance. Springer US, 1991. http://dx.doi.org/10.1007/978-1-4615-3948-3_9.

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Beraldi, Patrizia, Giorgio Consigli, Francesco De Simone, Gaetano Iaquinta, and Antonio Violi. "Hedging Market and Credit Risk in Corporate Bond Portfolios." In Stochastic Optimization Methods in Finance and Energy. Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-9586-5_4.

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Schlottmann, Frank, Detlef Seese, Michael Lesko, and Stephan Vorgrimler. "Risk-Return Analysis of Credit Portfolios." In Springer Finance. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-662-06427-6_16.

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Thompson, Howard E. "Traditional Models: CAPM and Risk Analysis." In Regulatory Finance. Springer US, 1991. http://dx.doi.org/10.1007/978-1-4615-3948-3_4.

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Conference papers on the topic "Risk analysis. Hedging (Finance)"

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Díaz Restrepo, Carlos Andrés, and Marlen Isabel Redondo Ramírez. "Efficiency of Option Market as an Exchange Rate Risk Hedging Instrument." In 3rd International Conference on Management, Economics and Finance. Acavent, 2021. http://dx.doi.org/10.33422/3rd.icmef.2021.02.20.

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Bielecki, Tomasz R., Areski Cousin, Stéphane Crépey, and Alexander Herbertsson. "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues." In International Workshop on Finance 2012. WORLD SCIENTIFIC, 2014. http://dx.doi.org/10.1142/9789814571647_0003.

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MICHEL, GERO W. "UNDERSTANDING AND HEDGING NATURAL CATASTROPHE RISK IN A CHANGING ENVIRONMENT: A (RE)INSURANCE PERSPECTIVE." In RISK ANALYSIS 2018. WIT Press, 2018. http://dx.doi.org/10.2495/risk180141.

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Zhang, Ying, and Feifei Yu. "Analysis on the Risk of Supply Chain Finance Analysis on the Risk of Supply Chain Finance." In 2011 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2011. http://dx.doi.org/10.1109/iciii.2011.157.

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Amiel, David. "Country Risk Analysis: A Probablistic Approach." In Oil and Gas Economics, Finance and Management Conference. Society of Petroleum Engineers, 1992. http://dx.doi.org/10.2118/24229-ms.

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Zeng, Ming, Jianhua Zhao, Baiting Xu, and Kuo Tian. "Project Finance Risk Analysis on Offshore Wind Farm." In 2010 Asia-Pacific Power and Energy Engineering Conference. IEEE, 2010. http://dx.doi.org/10.1109/appeec.2010.5448733.

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Libin, Xie. "Risk Analysis of China's Internet Finance and Strategies." In Proceedings of the 2018 International Conference on Economy, Management and Entrepreneurship (ICOEME 2018). Atlantis Press, 2018. http://dx.doi.org/10.2991/icoeme-18.2018.75.

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Huang, Jiaming. "Analysis of Risk Management Plan of Finance Section." In 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021). Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210319.120.

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Peyper, W., and A. Mellet. "ETF indexation methods: A risk-adjusted performance analysis." In 7th International Conference on Business and Finance. AOSIS, 2015. http://dx.doi.org/10.4102/jbmd.v5i1.13.

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Assa, Hirbod. "A Hedging Approach to Insurance Company Solvency." In Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA). American Society of Civil Engineers, 2014. http://dx.doi.org/10.1061/9780784413609.125.

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