In this article we examine the pricing of option contracts on the strategic petroleum reserve (SPR) and consider how these can be used by both the government and refiners. We analyze the interaction between the call and put option contracts, taking into account the underlying game, in the...

This paper analyse the use of foreign exchange derivatives by non-financial publicly traded Brazilian companies from 2007 to 2009. Using balance-sheet data on firms’ positions in derivatives and their foreign exchange exposure, the paper verifies the existence of three groups of derivative...

In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through Pair Copula Construction. We use daily data from indices which represent telecommunications, energy, industrials, consumer, financial, basic materials and real estate sectors in...

The purpose of this technical note is to identify key environment and safeguard-related risks and opportunities that should be taken into account in the new Country Strategy for the Dominican Republic (DR) as required by the IDB's Environment and Safeguard Policy approved in January 2006....

Price risk is among the most substantial risk factors for farmers. Through a two-sector general equilibrium model, we describe how fat tails in agricultural prices may occur endogenously as a result of productivity shocks. Using thirty years of daily futures price data, we show that the returns...

Purpose – The purpose of this paper is to evaluate the degree to which Islamic banks in Pakistan use risk management practices (RMPs) and techniques in dealing with different types of risk. Design/methodology/approach – A standardized questionnaire is used which covers six aspects:...

Purpose – Firms facing significant income volatility can often suffer from downside risk such that return on assets is insufficient to meet fixed financial obligations. The purpose of this paper is to provide a prescriptive credit solution for small businesses facing exogenous income risk....

Purpose – Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have an effective tool for...

Purpose – The purpose of this paper is to introduce the zero-modified distributions in the calculation of operational value-at-risk. Design/methodology/approach – This kind of distributions is preferred when excess of zeroes is observed. In operational risk, this phenomenon may be due to the...

Purpose – The purpose of this paper is to contribute to the existing disclosure literature by examining the determinants of narrative risk information in the interim reports for a sample of UK non-financial companies. Design/methodology/approach – This study uses the manual content analysis...