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The pricing kernel puzzle of Jackwerth (2000) concerns the fact that the empirical pricing kernel implied in S&P 500 index options and index returns is not monotonically decreasing in wealth as standard economic theory would suggest. Thus, those options are currently priced in a way such that...
Persistent link: https://www.econbiz.de/10009471611
for equities. Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change … crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In … crude oil mixed with equities, this study then examines the value effect of crude oil derivatives transactions by oil and …
Persistent link: https://www.econbiz.de/10009475072
credit derivatives. This paper will examine the governmental and private regulatory systems that aided the proliferation of …
Persistent link: https://www.econbiz.de/10009475413
risk. One of the ways to mitigate this riskis the use of currency derivatives to hedge this foreign exchange exposure … ofcurrency derivatives.In conflict with international trends high growth opportunities is not seen assignificant within the South … African context when describing whether a firm willhedge it?s foreign exchange exposure with currency derivatives or not …
Persistent link: https://www.econbiz.de/10009481281
The recent collapse of certain market operators has reopened the debate on the vulnerabilities of non-bank financial intermediation and their implications from the regulatory and supervisory standpoint. This article focuses on Archegos and Greensill whose collapse, although not systemic,...
Persistent link: https://www.econbiz.de/10013210154
important for emerging market countries that are experiencing remarkable growth in derivatives markets. Using firm level data …, we report a significant fall in exposure over the past 10 years and relate this to higher derivatives market …-Dumas (1984) model. Next, we follow an indirect approach to infer derivatives market participation at the firm level. Finally, we …
Persistent link: https://www.econbiz.de/10009430125
of risk management. Most courses on derivatives, futures and options, and financial engineering are taught from the … corporation, the utility, the software firm — any potential end-user of derivatives, but not the dealer. Among the topics we will …
Persistent link: https://www.econbiz.de/10009432744
In 2007 an international financial crisis developed and specialised financial products known as credit derivatives … experts have suggested in controlling the perceived excesses of the credit derivatives industry. These solutions were then … critically examined, by interviewing financial experts who deal in credit derivatives, to determine whether these solutions are …
Persistent link: https://www.econbiz.de/10009447649
activities (especially interest rate derivatives) is positively associated with long-term interest rate exposure (LTIR) but …
Persistent link: https://www.econbiz.de/10009448581
This study examines the issue of tax neutrality of the income tax treatment of credit swaps in Canada in domestic context. It analyzes the applicable tax regime consisting of rules on tax characterization, timing and tax rates through the lenses of symmetry, consistency and certainty approaches....
Persistent link: https://www.econbiz.de/10009455299