Results 221 to 230 of about 1,380,984 (267)

Skewness, Basis Risk, and Optimal Futures Demand

SSRN Electronic Journal, 2016
We 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
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Duration and the Measurement of Basis Risk

The Journal of Business, 1979
Forty 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, Ingersoll, Jonathan E, Jr, Ross, Stephen A   +2 more
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Basis risk: an expository note

OPEC Review, 1999
More 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.
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Risk-minimization for life insurance liabilities with basis risk

Mathematics and Financial Economics, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Biagini, Francesca, Rheinländer, Thorsten, Schreiber, Irene   +2 more
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Portfolio hedging and basis risks

Applied Financial Economics, 1996
Minimum 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.
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Basis Risk in Static vs. Dynamic Longevity Risk Hedging

SSRN Electronic Journal, 2015
This 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, Elisa Luciano, Luca Regis   +2 more
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Hedging of Variable Annuities under Basis Risk

SSRN Electronic Journal, 2019
AbstractI 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
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An immunogenetic basis for lung cancer risk

Science
Cancer 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, Tervi, Anniina, Saffern, Miriam, Wilson, Eric A., Yoo, Seong-Keun, Mars, Nina, Roudko, Vladimir, Cho, Byuri Angela, Jones, Samuel Edward, Vaninov, Natalie, Selvan, Myvizhi Esai, Gümüş, Zeynep H, null, null, Lenz, Tobias L., Merad, Miriam, Boffetta, Paolo, Martínez-Jiménez, Francisco, Ollila, Hanna M., Samstein, Robert M., Chowell, Diego   +19 more
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Longevity Basis Risk: A methodology for assessing basis risk

2014
This paper summarises the work to date of Cass Business School and Hymans Robertson LLP in relation to assessing longevity basis risk. This work was commissioned by the Longevity Basis Risk Working Group (LBRWG) and funded by the Life and Longevity Markets Association (LLMA) and Institute and Faculty of Actuaries (IFoA).
Haberman, Steven, Kaishev, Vladimir, MILLOSSOVICH, PIETRO, Villegas, Andrés, Baxter, Steven, Gaches, Andrew, Gunnlaugsson, Sveinn, Sison, Mario   +7 more
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Measuring Basis Risk in Longevity Hedges

North American Actuarial Journal, 2011
Abstract In examining basis risk in index longevity hedges, it is important not to ignore the dependence between the population underlying the hedging instrument and the population being hedged. We consider four extensions to the Lee-Carter model that incorporate such dependence: Both populations are jointly driven by the same single time-varying index,
Johnny Siu-Hang Li, Mary R. Hardy
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