Search Results - subject_exact:"Financial hedging"

Narrow search

On the valuation and monetization roles of the rolling intrinsic policy for merchant commodity storage

Secomandi, Nicola - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015482538

Exchange rate effects on firm performance : a NICER approach

Nuwat Nookhwun; Jettawat Pattararangrong; Phurichai … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015399449

Show one more version 1

Exchange rate effects on firm performance : a NICER approach

Nuwat Nookhwun; Jettawat Pattararangrong; Phurichai … - 2025

Book / Working Paper

Determinants of financial hedging strategies among commodity producer firms in Latin America

Giraldo, Carlos; Giraldo, Iader; Huertas, Cristian; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618440

Risk structure and financial hedging in nodal electricity markets

Yang, Daniel - 2026

Since the deregulation of electricity markets in the 1990s, U.S. power grids have witnessed the creation of an increasingly diverse suite of financial instruments designed to mitigate risks caused by underlying generation and consumption patterns. However, the nature of risks is shifting rapidly...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562770

The two-echelon multicommodity location-routing problem with stochastic and correlated demands

Escobar-Vargas, David; Crainic, Teodor Gabriel; Rei, Walter - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613599

Show one more version 1

The two-echelon multicommodity location-routing problem with stochastic and correlated demands

Escobar-Vargas, David; Crainic, Teodor Gabriel; Rei, Walter - 2023

Book / Working Paper

The impact of financial derivatives on European Bank value and performance

Al-Own, Bassam; Al Shbail, Mohannad Obeid; Jaradat, Zaid; … - 2026

Using a panel dataset of 385 European bank-year observations covering the 2012 to 2022 period, this study aimed to investigate the impact of derivatives on bank value and performance. We used bank-level panel data and conducted several multivariate statistical analyses, i.e., ordinary least...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615248

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591116

Forecasting and managing price volatility in salmon production : a hybrid system using conformal prediction and dynamic hedging

Luna, Manuel; Pérez-Mon, Olaya; Becker, João Luiz - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604682

Designing hedging instruments for locational price risks : lessons from North American Financial Transmission Rights

Stolle, Leon; Boeschemeier, Jonas; Hobbs, Benjamin Field; … - 2026

Locational marginal pricing (LMP) provides efficient locational dispatch and investment signals but requires a complementary congestion hedging instrument to function effectively. This paper investigates how exposure to locational price differences is managed in North American nodal electricity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607680

The theory of storage in a power system with stochastic demand

Biggar, Darryl; Hesamzadeh, Mohammad Reza - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620550

Hedging against inflation : international evidence on investor clientele effects

Boermans, Martijn; Swinkels, Laurens - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638014

Diversifier, hedge, or safe haven? : Bitcoin's role against the Brazilian stock market during the COVID-19 turmoil

Dias, Vitor Fonseca Machado Beling; Malaquias, Rodrigo … - 2026

The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638920

Impact of climate risk on clean water investments : does crude oil act as a hedge?

Bhuiyan, Mohammad Rakib Uddin; Dutta, Anupam; Ahmed, Ali M. - 2026

Water investments play an increasingly important role in sustainable finance, yet their response to climate policy uncertainty (CPU) under different market conditions remains poorly understood. This study examines the regime-dependent influence of CPU on water equity performance using monthly...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639581

Can precious metals act as safe-haven or hedge assets in capital markets of China?

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639868

Geopolitical risk in financial markets : an analysis of commodity hedging and stock returns in Europe

Bertelli, Beatrice; Torricelli, Costanza - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640483

The relevance of expected shortfall models in different time window sizes

Fukui, Marcelo; Basso, Leonardo Fernando Cruz - 2026

Risk management has become increasingly important in the financial world. Considering its importance, it is necessary to measure these risks. The financial market uses two risk measures: Value at Risk (VaR) and Expected Shortfall (ES). After the subprime crisis, the market began to emphasize ES...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643139

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2026 - This version: April 9, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632820

Show 2 more versions 2

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2025 - This version: October 7, 2025

Edition: This version: October 7, 2025

Book / Working Paper

On the limits of hedging inflation risk in investment portfolios

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2025

Book / Working Paper

A note on currency hedging of dollar investments of Swiss investors 1974-2025

Kugler, Peter - 2026

Our econometric (cointegration) analysis of the Swiss franc US dollar exchange rates over the period 1974 - 2025 provides strong evidence for a negative bias of the forward rate as predictor of the spot rate for the years up to 2007, which disappears with data from 2008 onwards. This implies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015635688

Short vs medium-run: exchange rate movements, investment and the currency composition of balance sheets

Camilo Medellín, Juan; Restrepo-Ángel, Sergio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015665390

ESG-proxy shocks and cryptocurrency returns : reduced-form evidence for green-tilted versus conventional crypto baskets

Feidi, Amira - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015665417

Comparative analysis of derivatives usage patterns among Fortune 500 companies during the market volatility periods

Bansal, Vibhum; Sharma, Preeti - 2026

This study examines the derivatives usage patterns among Fortune 500 companies during the 2020-2024 period, characterized by unprecedented market volatility. The objective is to investigate how derivative strategies evolved in response to the COVID-19 pandemic, subsequent inflation surge and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670036

Input uncertainty and firm performance : evidence from critical minerals

Nguyen-Tien, Viet - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675284

Longevity option and longevity swap de-risking strategies under frailty-based mortality models

Carannante, Maria; D'Amato, Valeria; Haberman, Steven; … - 2026

In this research, we develop longevity option and longevity swap de-risking strategies based on a frailty-based mortality model in order to obtain more effective longevity risk transfer by means of unbiased projections. The main findings show that when an appropriate de-risking strategy is not...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676652

Return determinants of option strategies : evidence from protective put and covered call

Woradee Jongadsayakul - 2026

This study compares the performance of protective put and covered call strategies and analyzes their return determinants. The analysis uses SET50 Index Options contracts with trading volume, covering maturities from January 2021 to December 2025. The empirical model investigates three groups of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676654

"What's the worst that could happen?" : perceptions of physical, financial, reputational, and policy risk in the United Kingdom's low-carbon industrial transition

Hudson, Marc; Sovacool, Benjamin K.; AbdulRafiu, Abbas - 2026

Rapid decarbonisation of not only energy systems but also industrial systems has become an urgent technical and policy priority. However, national pace is often slow, for many reasons, including the obduracy of large technical systems, uncertainty, and resistance from incumbents. The required...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672072

Optimal currency strategies under deviations from interest parity

Viceira, Luis M.; Shen, Sally - 2026 - This version: July 1, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677405

Inflation hedging potential of commodity indices and futures for U.S. investors

Adhikari, Ramesh; Ki, YoungHa - 2026

This study provides a comprehensive examination of the inflation-hedging potential of commodity indices and futures for U.S. investors using monthly data spanning July 1959 to December 2025 for 27 individual commodities, and January 1947 to November 2025 for 13 commodity indices. We employ...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061659

Gold and oil in periods of financial turmoil : a LSTAR GARCH bivariate copula investigation

Cifarelli, Giulio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675828

Gold-backed cryptocurrencies, precious metals, and hedging performance : evidence from dynamic dependence structures

Snene Manzli, Yasmine; Panazan, Oana; Jeribi, Ahmed; … - 2026

This study compares gold-backed and conventional cryptocurrencies in terms of dependence structures and hedging effectiveness relative to precious metals. Daily data for gold, silver, cryptocurrencies, gold-backed cryptocurrencies, and USD-backed stablecoins from July 2020 to March 2026 are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063944

Underwater : strategic trading and risk management in bank securities portfolios

Fuster, Andreas; Paligorova, Teodora; Vickery, James - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083095

Show one more version 1

Underwater : strategic trading and risk management in bank securities portfolios

Fuster, Andreas; Paligorova, Teodora; Vickery, James - 2026

Book / Working Paper

Political uncertainty and commodity markets

Hou, Kewei; Tang, Ke; Tao, Yubo (Robert); Zhang, Bohui - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071158

Sandwiched Volterra volatility model : Markovian approximations and hedging

Di Nunno, Giulia; Yurchenko-Tytarenko, Anton - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081499

Hedge accounting and banks' interest rate risk management

Ali, Waqar; Bhojraj, Sanjeev; Lu, Yao - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016084288

Risk management and derivatives losses

Levin-Konigsberg, Gabriel; Stein, Hillary; García … - 2023 - This version: July 2023

Even though financial risk management has the ability to generate value, the use of financial derivatives among nonfinancial corporations remains limited. We identify a channel that contributes to this limited use: the decoupling of derivatives losses and operational gains. Specifically, firms...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014414181

Probability pricing

Dávila, Eduardo; Parlatore, Cecilia; Walther, Ansgar - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616771

Dynamic interconnectedness and portfolio strategies in green finance : evidence from clean energy, ESG, and smart infrastructure

Naifar, Nader - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618384

On the determinants of derivatives disclosure : an emerging markets perspective

Toerien, Franz Eduard; Hall, John; Brümmer, L. M. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015546847

Climate risk, policy, and insurance : a forecast-based model for weather index design in vulnerable economies

Abrego-Perez, Adriana L.; Nuñez-Mora, José A. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654319

Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients

Davar, Parisa; Godin, Frédéric; Garrido, José - 2025

This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process. This problem is particularly challenging due to the scarcity of observations in the far tail of the distribution...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654808

The hedging channel of exchange rate determination

Liao, Gordon Y.; Zhang, Tony - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371011

Show 3 more versions 3

The hedging channel of exchange rate determination

Liao, Gordon; Zhang, Tony - 2020 - This draft: May 2020

Edition: This draft: May 2020

Book / Working Paper

The Hedging Channel of Exchange Rate Determination

Liao, Gordon; Zhang, Tony - 2022

Book / Working Paper

The Hedging Channel of Exchange Rate Determination

Liao, Gordon - 2020

Book / Working Paper

Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19

Han, SeungOh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374372

Does FX hedge mitigate the impact of exchange rate changes on credit risk? : evidence from a small open economy

Skufi, Lorena; Gersl, Adam - 2025

This study investigates the impact of exchange rate fluctuations on non-performing loans (NPLs), using a unique bank-by-bank dataset on lending to FX hedged and FX unhedged borrowers. Employing fixed effects and panel quantile regression, we analyze how changes in exchange rate affect the NPL...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272046

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272995

Show 3 more versions 3

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The implications of CIP deviations for international capital flows

Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330343

On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends

Babaei, Esmaeil - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331075

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2025

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333614