Following Bollerslev et al. (2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that,...

Traditional capital budgeting models price only systemic risk. However, insurers and banks seek to manage their total risk. With the help of modern information systems and information technology, bankers and insurers are able to get timely information on the risk exposures of their multiple...

Traditional capital budgeting models price only systemic risk. However, insurers and banks seek to manage their total risk. With the help of modern information systems and information technology, bankers and insurers are able to get timely information on the risk exposures of their multiple...

Smart and sustainable campuses demand three components. First, there is the need to have a Strategic Master Plan (SMP) for all infrastructures that include energy, transportation, water, waste and telecommunications along with the traditional dimensions of research, curricula, outreach and...

We consider default by firms that are part of a single clearing mechanism. The obligations of all firms within the system are determined simultaneously in a fashion consistent with the priority of debt claims and the limited liability of equity. We first show, via a fixed-point argument, that...

Despite the use of VaR as a means to control risk, regulations that constrain VaR can have an effect opposite of their intent: to increase risk taking by firms that are doing poorly. Hence VaR constraint regulations can have a destabilizing effect on the financial system. A VaR constraint on the...

We analyze the effect various delivery options embedded in commodity futures contracts have on the futures price. The two embedded options considered are the timing and location options. We show that early delivery is always optimal when only a timing option is present, but not so when joint...