We focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk. Model risk can arise from model...

This paper explores the relationship between currency futures and realized spot rates for the Indian rupee US dollar exchange rate. Using futures contracts with maturities of one, two and three months, we examine the unbiasedness of futures quotes as a predictor of the spot exchange rate as well...

We examine convenience yields and risk premiums in the EU-wide CO₂ emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures...

We investigate the term structure of sovereign yield spreads for five advanced economies against the US and provide novel insights on the key drivers of the term structure. We show that the spread term structure dynamics are driven by three latent factors, which can be labeled as spread level,...

We investigate the impacts of the carbon tax (effective July 2012 to July 2014) on wholesale electricity prices in the Australian National Electricity Market (NEM). Analyzing spot and futures contracts in four major regional markets, we first compute ex-ante forward risk premiums in the pre-tax...

We provide an empirical analysis of the relationship between spot and futures prices in interconnected regional Australian electricity markets. Examining ex-post risk premiums in futures markets, we find positive and significant risk premiums for several of the considered regions. Therefore,...