Browsing by Keywords "Risk management"

Now showing items 1-13 of 13

    • Buyer's quantile hedge portfolios in discrete-time trading 

      Pinar, M.Ç. (2013)
      The problem of quantile hedging for American claims is studied from the perspective of the buyer of a contingent claim by minimizing the 'expected failure ratio'. After a general study of the problem in infinite-state ...

    • Dynamic financial planning: certainty equivalents, stochastic constraints and functional conjugate duality 

      Jefferson, T. R.; Scott, C. H. (Taylor & Francis, 2005)
      This paper studies portfolios under risk and stochastic constraints. Certainty equivalents combine risk aversion and exponential utility to form the objective. Budget and stochastic constraints on the account balance are ...

    • Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications 

      Mensi, W.; Hammoudeh, S.; Al-Jarrah, I. M. W.; Sensoy A.; Kang, S. H. (Elsevier B.V., 2017)
      This paper investigates the time-varying equicorrelations and risk spillovers between crude oil, gold and the Dow Jones conventional, sustainability and Islamic stock index aggregates and 10 associated disaggregated Islamic ...

    • Energy, precious metals, and GCC stock markets: Is there any risk spillover? 

      Al-Yahyaee, K.; Mensi, W.; Şensoy, Ahmet; Kang, S. (Elsevier, 2019)
      We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover ...

    • Evaluating predictive performance of judgemental extrapolations from simulated currency series 

      Pollock, A. C.; Macaulay, A.; Önkal-Atay, D.; Wilkie-Thomson, M. E. (Elsevier, 1999)
      Judgemental forecasting of exchange rates is critical for financial decision-making. Detailed investigations of the potential effects of time-series characteristics on judgemental currency forecasts demand the use of ...

    • EVIM: a software package for extreme value analysis in MATLAB 

      Gençay, R.; Selçuk, F.; Ulugülyagci, A. (Walter de Gruyter GmbH, 2001)
      From the practitioners' point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones ...

    • Exploring exchange rate returns at different time horizons 

      Nekhili, R.; Altay-Salih, A.; Gençay, R. (Elsevier, 2002)
      The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time ...

    • Futures hedging in electricity retailing 

      Tanrısever, Fehmi; Büke, B.; Jongen, G. (Springer, 2022-09)
      This paper is concerned with the risk management practices of an electricity retailer motivated by the Dutch electricity market. We examine the effectiveness of the existing base- and peak-load futures contracts as a risk ...

    • Hybrid Petri-nets for modeling and performance evaluation of supply chains 

      Khilwani, N.; Tiwari, M.; Sabuncuoglu, I. (Taylor & Francis, 2011)
      Modelling and analysis of complex and co-ordinated supply chains is a crucial task due to its inherent complexity and uncertainty. Therefore, the current research direction is to devise an efficient modelling technique ...

    • Is there a flight to quality due to inflation uncertainty? 

      Guler, B.; Ozlale, U. (Elsevier BV, 2005)
      After two types of inflation uncertainty are derived within a time-varying parameter model with GARCH specification, the relationship between inflation uncertainty and interest rates for safe assets is investigated. The ...

    • Order of limits in reputations 

      Dalkıran, N. A. (Springer, 2016)
      The fact that small departures from complete information might have large effects on the set of equilibrium payoffs draws interest in the adverse selection approach to study reputations in repeated games. It is well known ...

    • Overnight borrowing, interest rates and extreme value theory 

      Gençay, R.; Selçuk, F. (Elsevier BV, 2006)
      We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown ...

    • Scaling properties of foreign exchange volatility 

      Gençay, R.; Selçuk, F.; Whitcher, B. (Elsevier BV, 2001)
      In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology is based on a wavelet multi-scaling approach which decomposes the variance of a time series and the covariance between ...