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Systematic risk and the price structure of individual equity options

Duan, Jin-Chuan; Wei, Jason - In: The review of financial studies 22 (2009) 5, pp. 1981-2006

Persistent link: https://www.econbiz.de/10003886037

Weather derivatives valuation and market price of weather risk

Cao, Melanie; Wei, Jason - In: The journal of futures markets 24 (2004) 11, pp. 1065-1089

Persistent link: https://www.econbiz.de/10002248675

Managing construction risk with weather derivatives

Islip, David; Wei, Jason; Kwon, Roy H. - In: The engineering economist : a journal devoted to the … 66 (2021) 2, pp. 150-184

Persistent link: https://www.econbiz.de/10012586943

Liquidity risk and expected option returns

Choy, Siu Kai; Wei, Jason - In: Journal of banking & finance 111 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012221014

Regulation banks' interest rate risk when interest rates are stochastic and equity has limited liability

Duan, Jin-Chuan; Moreau, Arthur F.; Sealey, C. W. - Federal Reserve Bank of Chicago - 1992

Persistent link: https://www.econbiz.de/10010723779

Deposit insurance and risk-shifting behaviour at commercial banks

Duan, Jin-Chuan; Moreau, Arthur F.; Sealey, C. W. - Federal Reserve Bank of Chicago - 1990

Persistent link: https://www.econbiz.de/10010723936

Cascading Defaults and Systemic Risk of a Banking Network

Duan, Jin-Chuan - 2013

Systemic risk of a banking system arises from cascading defaults due to interbank linkages. We propose a model which distinguishes systemic risk from its drivers -- systematic and idiosyncratic risks. Systemic risk is characterised by systemic exposure and systemic fragility, corresponding to...

Persistent link: https://www.econbiz.de/10013080688