Search Results - subject_exact:"Hedging"

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615248

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643139

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665390

Probability pricing

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616771

On the determinants of derivatives disclosure : an emerging markets perspective

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015546847

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272046

Patent portfolios and uncertainty

Neururer, Thaddeus; Wang, Li; Zheng, Yuxiang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464896

Antimonotonicity for preference axioms : the natural counterpart to comonotonicity

Principi, Giulio; Wakker, Peter P.; Wang, Ruodu - 2025

Comonotonicity (''same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (''opposite variation''; abbreviated ''AC''), the natural counterpart to comonotonicity....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455276

Bank fragility and risk management

Ahnert, Toni; Bertsch, Christoph; Leonello, Agnese; … - 2025

Shocks to a bank's ability to raise liquidity at short notice can trigger depositor panics. Why don't banks take a more active role in managing these risks? We study contingent risk management (hedging) in a standard global-games model of a bank run. Banks fail to hedge precisely when the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434597

Thailand sustainability investment performance on Thailand's stock market and financial assets

Pitipat Nittayakamolphun; Wiwatwong Bunnun; Nathaporn … - 2025

Extreme weather events are the primary driver of environmental, social, and governance (ESG) responsible investment or sustainable stocks, which are gaining popularity worldwide, including in Thailand. Nevertheless, the function of sustainable stocks remains an academic dispute and without...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015435843

Ignorantics : the theory, research, and practice of ignorance in organizational survival and prosperity

De Villiers, Rouxelle - 2025

This study responds to the call by some scholars to establish a framework for ignorance. It challenges the myth that ignorance is all bad and an utterly undesirable state in organizations and proposes a new framework for the application of ignorance analytics in organizations. It includes a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436114

A pure dual approach for hedging Bermudan options

Alfonsi, Aurélien; Kebaier, Ahmed; Lelong, Jérõme - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461692

Which sectoral CDS can more effectively hedge conventional and Islamic Dow Jones indices? : evidence from the COVID-19 outbreak and bubble crypto currency periods

Zghal, Rania; Dammak, Fredj Amine; Souai, Semia; … - 2025

In this study, we aim to provide a comprehensive analysis of the risk management potential of sectoral Credit Default Swaps (CDSs) within financial portfolios. Our objectives are threefold: (i) to investigate the safe haven properties of sectoral CDSs; (ii) to assess their hedging effectiveness...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492288

Nature and the capital market : analyzing the spillover effect between biodiversity and heavy industry stock indices

Hyde, Stuart; Karkowska, Renata; Urjasz, Szczepan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015555449

Financial market risks and the hedging powers of unconventional assets under different conditions

Adediran, Idris A.; Oyadeyi, Olajide O.; Agboola, Olayode W. - 2025

The global financial ecosystem has become increasingly precarious for investors in the face of diverse risks such as macroeconomic, policy uncertainty, geopolitical, and systemic risks. This study examines hedging these risks with alternative classes of unconventional assets; clean stocks,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620760

The Lehman sisters hypothesis : gender differences in risk-taking and insights from the 2008 Polish currency options crisis

Macko, Anna; Kubińska, Elżbieta; Wyrobek, Joanna; … - 2025

Objective:This study investigates gender differences in risk-taking behaviour, specifically in entrepreneurial decision-making, in line with the Lehman Sisters Hypothesis. The research, motivated by the 2008 Polish currency options crisis, seeks to understand the factors driving risky decisions,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015533459

Deep learning in finance : a review of deep hedging and deep calibration techniques

Shinozaki, Yuji - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559872

Currency hedging and the Danish pension sector

Steffensen, Sigurd Anders Muus; Jensen, Birthe Merethe; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014564104

Volatility spillovers, hedging and safe-havens under pandemics : all that glitters is not gold!

Ghabri, Yosra; Luu Duc Toan Huynh; Nasir, Muhammad Ali - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014533219

Risk management and private debt contracts : the role of weather derivatives

Do, Viet; Nguyen, Thu Ha; Vu, Tram - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130360

Dynamic self-fulfilling fire sales

Khorrami, Paymon; Mendo, Fernando - 2024

Why do fire sales occur if many risks are hedgeable? We study a version of Brunnermeier and Sannikov (2014) in which all fundamental risks can be hedged frictionlessly. Our analysis shows that fire sales are inherently self-fulfilling. Fundamental shocks can never cause fire sales, and an...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329693

A review of new developments in finance with deep learning : deep hedging and deep calibration

Shinozaki, Yuji - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015053520

Optimal time for closing a trading position

Habib, Reza - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441711

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014471210

Derivative disclosures and managerial opportunism

He, Guanming; Ren, Helen Mengbing - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014475490

The relationship between earnings volatility and corporate risk disclosures

Rammala, Johannes; Toerien, Franz Eduard - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046025

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

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613599

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

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

Book / Working Paper

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620550

Hedging against inflation : international evidence on investor clientele effects

Boermans, Martijn; Swinkels, Laurens - 2026

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640483

Effect of corporate risk management on dividend policy : evidence from US oil and gas firms

Ouederni, Karima; Dionne, Georges - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647107

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://www.econbiz.de, 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

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

Feidi, Amira - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665417

Effective strategies for managing market risks in Small and Medium-Sized Enterprises(SMEs)

Abdusalomova, Nodira B.; Omonov, Sherdor O.; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637795

Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?

Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013482253

One asset does not fit all : inflation hedging by index and horizon

D'Amico, Stefania; King, Thomas B. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425420

Show one more version 1

One asset does not fit all : inflation hedging by index and horizon

D'Amico, Stefania; King, Thomas B. - 2023

Book / Working Paper

CDS and credit : the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405339

Show one more version 1

CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Edition: This draft: October 31, 2023

Book / Working Paper

Potential use of weather derivatives in hedging aggregate viticulture yields : an analysis of the Niagara region of Canada

Cyr, Don J.; Kushner, Joseph; Zhang, Mingtian - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014438139

Speculative ratios and returns volatility in the South African white maize futures market

Sayed, Ayesha; Auret, C. - 2023

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns volatility is estimated using a GARCH (1,1) model. Trading...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500465

The dominant currency financing channel of external adjustment

Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick - 2023

We propose a new channel through which exchange rates affect trade. Exploiting the heterogeneity in firms' foreign currency debt maturity structure around a large depreciation in Colombia, we show that debt revaluation compresses imports due to higher delinquencies and interest rates, while...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014304470

Show one more version 1

The dominant currency financing channel of external adjustment

Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick - 2022

Book / Working Paper

Analytical view of pricing weather and freight derivatives : 1950-2020

Sekhar, G. V. Satya - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014305115