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Multivariate partial distribution : a new method of pricing group assets and analyzing the risk for hedging

Dai, Feng; Liu, Hui; Wang, Ying - 2005

Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in...

Persistent link: https://www.econbiz.de/10011513103

Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)

Malhotra, Yogesh - 2015

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Persistent link: https://www.econbiz.de/10013024329

Determining New Oil Market Predictors Under Model Uncertainty

Ryan, Laura - 2012

It has recently been suggested that speculation is now playing an important role in daily price movements of global oil prices. This raises the question: what are important drivers of price changes given this new 'speculative' regime? We identify new factors of the oil market related to...

Persistent link: https://www.econbiz.de/10013105542

Modelling Arbitration : Evaluating Risks and Settlements of Disputes Using Regret Theory

Galadari, Abdulla - 2013

or not to raise an arbitration case for a claim. It adds the ingredient of a regret theory approach for taking that … decision, if an amicable settlement amount is not agreed. Many other models that are based on decision trees, game theory, and … neural networks lack a regret theory approach. The inclusion of regret theory in this model may be adaptable to any other …

Persistent link: https://www.econbiz.de/10013092242

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks

Dapena, José Pablo - 2019

The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital market slacks variety of hedging contracts....

Persistent link: https://www.econbiz.de/10012858222

Unraveling the value premium : a reward for risk or mispricing?

Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019

A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...

Persistent link: https://www.econbiz.de/10012125294