Results 131 to 140 of about 1,364,189 (179)
Some of the next articles are maybe not open access.
Optimal dynamic longevity hedge with basis risk
European Journal of Operational Research, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ken Seng Tan +2 more
openaire +2 more sources
Preoxygenation: Physiologic Basis, Benefits, and Potential Risks
Anesthesia & Analgesia, 2017Preoxygenation before anesthetic induction and tracheal intubation is a widely accepted maneuver, designed to increase the body oxygen stores and thereby delay the onset of arterial hemoglobin desaturation during apnea. Because difficulties with ventilation and intubation are unpredictable, the need for preoxygenation is desirable in all patients ...
Usharani, Nimmagadda +2 more
openaire +2 more sources
Skewness, Basis Risk, and Optimal Futures Demand
SSRN Electronic Journal, 2016We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew-normal distribution, such to consider the effect of negative skewness on the optimal futures demand. Relative to the benchmark of bivariate normality, negative skewness has a material impact when the agent is significantly risk-averse.
Massimiliano Barbi, Silvia Romagnoli
openaire +2 more sources
Duration and the Measurement of Basis Risk
The Journal of Business, 1979Forty years ago Macaulay proposed the measure of "duration" to represent the " . . . essence of the time element of a loan (1938, p. 44).1 Hicks independently derived the equivalent "average period" measuring the " . . . [bond price] elasticity with respect to a discount ratio [i.e., factor or discount rate plus unity]" (1939, p. 186).
Cox, John C +2 more
openaire +1 more source
Basis risk: an expository note
OPEC Review, 1999More attention needs to be paid to the mechanics of basis risk. The Metallgesellschaft debacle was mainly due to very large margin calls in conjunction with unfavourable changes in the basis, although this easily verifiable fact does not seem to be widely appreciated.
openaire +1 more source
Risk-minimization for life insurance liabilities with basis risk
Mathematics and Financial Economics, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Biagini, Francesca +2 more
openaire +2 more sources
Portfolio hedging and basis risks
Applied Financial Economics, 1996Minimum variance hedged portfolios using futures are formed by taking the linear projection of spot price changes onto futures price movements as the hedge ratio. This unwittingly assumes that the underlying spot-futures price movements follow a cointegrated process, given that the spot and the futures prices are integrated processes.
openaire +2 more sources
Basis Risk in Static vs. Dynamic Longevity Risk Hedging
SSRN Electronic Journal, 2015This paper provides a simple model for basis risk in a longevity framework, by separating common and idiosyncratic risk factors. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference population.
Clemente De Rosa +2 more
openaire +1 more source
Hedging of Variable Annuities under Basis Risk
SSRN Electronic Journal, 2019AbstractI study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging performance. In this paper, I model the financial market based on correlated geometric Brownian motions and analyze
openaire +5 more sources
An immunogenetic basis for lung cancer risk
ScienceCancer risk is influenced by inherited mutations, DNA replication errors, and environmental factors. However, the influence of genetic variation in immunosurveillance on cancer risk is not well understood. Leveraging population-level data from the UK Biobank and FinnGen, we show that heterozygosity at the human leukocyte ...
Krishna, Chirag +19 more
openaire +2 more sources