This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...

Die übliche Schätzfunktion zur Bestimmung der relativen Lohndifferenz mittels Dummyvariable in einer log-linearen Regressionsfunktion ist inkonsistent, falls gruppenspezifische Heteroskedastie vorliegt. Die Richtung und Größenordnung der Verzerrung wird abgeleitet. Ein Fallbeispiel zur...

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...

The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types of information in order to manage risk through capital allocation for Value at Risk coverage. Hard information, contained in balance sheet data and produced with credit...

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...

The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used...

Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to...

It is well-established that equity returns are not Normally distributed, but what should the portfolio manager do about this, and is it worth the effort? It is now feasible to employ better multivariate distribution families that capture heavy tails and skewness in the data; we argue that among...