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Quadratic Hedging of Basis Risk [PDF]
Journal of Risk and Financial Management, 2015 This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim.
Thomas A Mcwalter, Hulley Hardy
exaly +4 more sources
Basis risk and weather hedging effectiveness [PDF]
Agricultural Finance Review, 2008 Basis risk – the risk that payoffs of a hedging instrument do not correspond to the underlying exposures – is cited as a primary concern for implementing weather data, we investigate several dimensions of weather basis risk in the U.S. corn market. Results suggest that while geographic basis risk can be significant, it should not preclude the use of ...
Philip Garcia
exaly +3 more sources
A Two-Population Mortality Model to Assess Longevity Basis Risk
Risks, 2021 Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two-population model to
Selin Özen, Şule Şahin
doaj +3 more sources
Do farmers care about basis risk? Evidence from a field experiment in India
Climate Risk Management, 2020 Despite the potential of weather index insurance as an innovative climate risk adaptation instrument for farmers in the developing world, there is a major barrier to its widespread uptake, namely “basis risk”.
Sarthak Gaurav, Vaibhav Chaudhary
doaj +3 more sources
Enhanced Weather-Based Index Insurance Design for Hedging Crop Yield Risk
Frontiers in Plant Science, 2022 This study proposes an optimization-based weather-yield model to reduce the basis risk of weather-based index insurance. This weather-yield model helps us capture the growing season's monthly variation as it involves monthly explanatory weather indices ...
Yan Sun
doaj +1 more source
Disentangling Trend Risk and Basis Risk with Functional Time Series
Risks, 2023 In recent multi-population stochastic mortality models, one critical scientific issue is the vague distinction between trend risk and population basis risk.
Yanxin Liu, Johnny Siu-Hang Li
doaj +1 more source
Mean‐variance hedging with basis risk [PDF]
Applied Stochastic Models in Business and Industry, 2018 AbstractBasis risk arises in a number of financial and insurance risk management problems when the hedging assets do not perfectly match the underlying asset in a hedging program. Notable examples in insurance include the hedging for longevity risks, weather index–based insurance products, variable annuities, etc.
Xue, Xiaole +2 more
openaire +3 more sources
Neurobiological Basis of Increased Risk for Suicidal Behaviour
Cells, 2021 According to the World Health Organization (WHO), more than 700,000 people die per year due to suicide. Suicide risk factors include a previous suicide attempt and psychiatric disorders.
Aleksandra Wisłowska-Stanek +2 more
doaj +1 more source
Risk significance assessment on the basis of a fuzzy model [PDF]
E3S Web of Conferences, 2021 The paper considers the problem of risk significance assessment in the activity of a testing laboratory. The accreditation criteria of such laboratories include requirements for implementation of risk management in the organization of their activity.
Nurutdinova Inna, Dimitrova Luibov
doaj +1 more source
The Neural Basis of Financial Risk Taking [PDF]
Neuron, 2005 Investors systematically deviate from rationality when making financial decisions, yet the mechanisms responsible for these deviations have not been identified. Using event-related fMRI, we examined whether anticipatory neural activity would predict optimal and suboptimal choices in a financial decision-making task.
Camelia Kuhnen, Brian Knutson
openaire +3 more sources