The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an … Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday … reliable means of measuring intraday risk for traders who are very active on the market. The UHF-GARCH model performs well out …

. This risky situation is unlike default risk whose maximum values are limited by the amount of credit granted. For example …

choice on firm value and risk. Using a new dataset on hedging activities of 150 U.S. oil and gas producers, we find strong … hedging maturities could attenuate the impacts of commodity price risk on firm value and risk. …

determinants of hedging strategy choice. We also examine the economic effects of hedging strategy on firms’ risk, value and …

Risk management is now present in many economic sectors. This paper investigates the role of risk management in … financial intermediaries whose primary roles in the economy are risk pooling and risk bearing. The risk pooling and risk bearing … functions performed by insurers are the primary determinants of the need for risk management. The main goal of this paper is to …

finance per se did not trigger the last financial crisis. The crisis was propagated around the world because of poor risk …

Purchasing reinsurance reduces insurers’ insolvency risk by stabilizing loss experience, increasing capacity, limiting … costs. However, transferring risk to reinsurers is expensive. The cost of reinsurance for an insurer can be much larger than … the actuarial price of the risk transferred. In this article, we analyze empirically the costs and the benefits of …

et al (2006) have proposed a cost function specification that measures separately insurer efficiency in handling risk … pooling, risk management, and financial intermediation functions. We investigate the insurer characteristics that determine …. Independent agents and high capitalization reduce the cost efficiency of risk pooling. Certain characteristics such as being a …

et al. (2006) have proposed a cost function specification that measures separately insurer efficiency in handling risk … pooling, risk management, and financial intermediation functions. We investigate the insurer characteristics that determine …. Independent agents and high capitalization reduce the cost efficiency of risk pooling. Certain characteristics such as being a …