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Derivatives trading can significantly alter shareholders' choices of different corporate governance tactics. In this paper, I investigate whether financial derivative contracts such options promote or impede shareholder activism. Baseline results reveal a positive association between more liquid...
Persistent link: https://www.econbiz.de/10012900109
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...
Persistent link: https://www.econbiz.de/10013024274
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...
Persistent link: https://www.econbiz.de/10010489103
We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...
Persistent link: https://www.econbiz.de/10012966945