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The effectiveness of investing in stock exchange markets in Central and Eastern European Countries with regard to NYSE2-LSE-HKSE2 : a comparative risk analysis

Pera, Jacek - In: Comparative economic research : Central and Eastern Europe 22 (2019) 2, pp. 121-140

The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern Europe countries (CEE) in view of the largest stock exchanges: NYSE2‑LSE‑HKSE2. The implementation of this objective was based on an analysis of basic stock market indicators and...

Persistent link: https://www.econbiz.de/10012024103

Gas storage valuation and hedging : a quantification of model risk

Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-27

This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we propose a model that unifies the dynamics of...

Persistent link: https://www.econbiz.de/10011857266

Sensitivities-based method and expected shortfall for market risk under FRTB : its impact on options risk capital

Grajales, Carlos Alexander; Hurtado, Santiago Medina - In: Journal of economics, finance & administrative science 28 (2023) 55, pp. 96-115

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

Persistent link: https://www.econbiz.de/10014339255