Results 241 to 250 of about 10,171,924 (292)
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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
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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
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1998
The objective of this paper is to develop a cross hedging model for rice that minimizes basis risk and accounts for the existence of the nonstationary nature of basis. Basis is treated as an endogenous variable and model for basis risk are developed.
Lord, Yoshie Saito +3 more
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The objective of this paper is to develop a cross hedging model for rice that minimizes basis risk and accounts for the existence of the nonstationary nature of basis. Basis is treated as an endogenous variable and model for basis risk are developed.
Lord, Yoshie Saito +3 more
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Basis Risk in Variable Annuities
SSRN Electronic Journal, 2020Variable annuities (VAs) are highly popular personal savings and investment products with long-term financial guarantees. The hedging of these guarantees is crucial for VA providers, but is complicated by basis risk, i.e. the discrepancy in returns between the underlying mutual fund and suitable hedging instruments.
Wenchu Li +2 more
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The axiomatic basis of risk–value models
European Journal of Operational Research, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Basis Risk in Variable Annuities
2023This dissertation provides a comprehensive and practical analysis of basis risk in the U.S. variable annuity market and examines effective fund mapping strategies to mitigate the level of basis risk while controlling for the associated transaction costs.
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Basis Risk and Inflation Replication
SSRN Electronic Journal, 2013We study inflation replication in European markets and find that investors can improve their inflation hedge by acquiring foreign inflation-linked derivatives on the international market. Although European inflation-linked bonds holdings have a substantial impact on the inflation hedging ability, their weight in the hedging portfolio is declining over ...
Alexander de Roode, Ronald Mahieu
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Neurobehavioral toxicity as a basis for risk assessment
Trends in Pharmacological Sciences, 1988Abstract Health risks posed by chemical exposure have usually been modeled on the basis of carcinogenesis. Other endpoints, however, are now gaining attention. Functional criteria, such as behavioral toxicity, pose some novel problems for risk assessment.
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The Effects of the Geographical and Basis Risk
2012This chapter reviews in detail the notion of basis risk in the weather market. In contrast to classical financial markets, basis risk in the sense of weather derivatives has a different definition. First, the notion of geographical basis risk is analyzed, and a spatial model for temperature is presented.
Antonis K. Alexandridis +1 more
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