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排序方式: 共有481条查询结果,搜索用时 15 毫秒
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This paper investigates how firms should hedge price risk when payment dates are uncertain. We derive variance-minimizing strategies and show that the instrument choice is essential for this problem, similar to the choice between a strip and a stack hedge. The first setting concentrates on futures hedges, whereas the second allows for nonlinear derivatives. In both settings, firms should take positions in derivatives with different maturities simultaneously. We present an empirical analysis for commodities and exchange rates, showing that in both settings the optimal strategy clearly outperforms the commonly used heuristic strategies which consider only one hedging instrument at a time. 相似文献
3.
Ivan Oscar Asensio 《Quantitative Finance》2020,20(4):619-638
Tests of the expectations hypothesis reveal that the slope of the VIX futures term structure predicts the direction but not the magnitude of the evolution of the short-end of the curve, but predicts neither the direction nor the magnitude of short-term changes in the long-end of the curve. Relative value seeking spread trades, constructed to exploit such violations, deliver excess returns with annualized Sharpe ratios equal or greater than those of volatility-writing strategies deployed by VIX ETN's for a majority of the 32 spread trade combinations tested. I demonstrate that profits from beta-neutral variations of the spread trades, which are not compensation for taking on equity downside risk by design, are propagated by inflows of capital into VIX futures markets, after controlling for factors that measure changes in the availability of hedge fund capital, risk appetite, and momentum. At the heart of profits, and by extension the term structure anomalies, is a disproportionally elevated basis propagated by long VIX demand that enters the futures market through ETN channels. 相似文献
4.
Abstract:In this paper, we provide a comparison of two models of temperature-based weather derivatives. The Alaton et al. model (2002) and the continuous-time autoregressive (CAR) model of Benth et al. (2007) are applied to temperature data from twelve cities in China. The objective is to determine which is the better model for temperature derivative modeling in Chinese cities. We found the CAR model to be more accurate in terms of normality of residuals and smaller relative errors. However, the shortcomings of both the Alaton et al. model and the CAR model are revealed in this study as well. 相似文献
5.
César Augusto Giraldo-Prieto Gabriel Jaime González Uribe Cristhian Vesga Bermejo Diana Carolina Ferreira Herrera 《Contaduría y Administración》2017,62(5):1553-1571
The financial theory (Modigliani & Miller, 1958) rises that risk management was not an issue for companies because shareholders could make their own hedging management through portfolio diversification; however, further studies conflict with that statement and show that corporate financial hedging improves performance and increases the value thereof (Ahmed, Azevedo, & Guney, 2014; Allayannis & Weston, 2001; Allayannis & Ofek, 1998). Efficient management of market risks, which is based on the use of financial derivatives, demands strategic and efficient managers in hedging that adds value to the firm, especially in against shocks and imbalances from a macroeconomic and financial nature. Empirical evidence analyzes the performance of the Q-Tobin as an indicator of the effect of hedging strategies of exchange rate associated to the market value. This paper aims to find evidence in Colombia on the effect of using derivatives in the market value of the firm. Its added value lies in the analysis made by economic sectors, identified by CIIU codes and grouped into 5 sectors (Agricultural, Commercial, Industrial or Manufacturing, Services and Construction). The methodology includes several models estimating regression panel data, using a Pooled regression with estimators of fixed and random effects by maximum likelihood estimator. In general, it was found a premium due to hedging, statistically and financially significant, for companies exposed to exchange rate risks that use derivatives by an average of 6.3% on the market value. Moreover, mixed results were found regarding the analyzed variables in the model. 相似文献
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In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation processes. The method can be applied to a wide range of problems. Based on this model, we derive the joint distribution of multiple default times without imposing stringent assumptions on the form of default intensities. Closed-form formulas for the distribution of default times are obtained which are then applied to solve a number of practical problems such as hedging and pricing credit derivatives. The method and numerical algorithms presented can be applicable to various forms of default intensities. 相似文献
8.
In this article, we avail of International Accounting Standards IFRS 7 to investigate the usage and motivation of hedging by firms in the Gulf Cooperation Council (GCC) countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates). The results of our panel and cross-sectional data logistic regressions indicate a focus on foreign exchange exposure, interest rates risk, and commodity risk in this region. We find that the use of hedging instruments in this region is also influenced positively by the firm’s size and, to a lesser degree, positively by the firm’s gearing ratio and negatively by its propensity to growth. The level of activity, nevertheless, remains lower than is the case for firms globally. 相似文献
9.
Tom Fischer 《Mathematical Finance》2014,24(1):97-124
We generalize Merton’s asset valuation approach to systems of multiple financial firms where cross‐ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no‐arbitrage. An existence result and a uniqueness result are proven. Examples and an algorithm for the simultaneous calculation of all no‐arbitrage prices are provided. A result on capital structure irrelevance for groups of firms regarding externally held claims is discussed, as well as financial leverage and systemic risk caused by cross‐ownership. 相似文献
10.
Evaluating more than 317,000 discount certificates in the German secondary market, we find that premiums and spreads are endogenous and negatively related but depend on different key determinants. The fundamental determinants of the premiums are mainly profit-related, that is, dividends of the underlying, issuers’ credit risk, lifecycle effect, and competition, whereas hedging costs are less important. However, initial hedging costs (IHC) are priced into the premium in the case of large inventory changes. The spread is mostly determined by hedging costs and risk components, such as IHCs, rebalancing costs, volatility, scalper risk, and overnight gap risk—but also by dividends. 相似文献