Results 121 to 130 of about 7,199,199 (374)
Assessing the Impact of Covid-19 Pandemic on Emerging Market Economies' (EMEs) Sovereign Bond Risk Premium and Fiscal Solvency. [PDF]
East Econ J, 2021 Bizuneh M, Geremew M.
europepmc +1 more source
Risk Premium Impact in the Perturbative Black Scholes Model [PDF]
arXiv, 2008 We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the classical Black Scholes one, where the volatility used by the trader is an estimation of the market one and contains measurement errors.
arxiv
On the Structural Interpretation of the Smets-Wouters 'Risk Premium' Shock
, 2014 This article shows that the “risk premium” shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short‐term U.S. Treasury securities.
Jonas D. M. Fisher
semanticscholar +1 more source
Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?
Agribusiness, EarlyView.ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley +1 more source
Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation [PDF]
arXiv, 2011 Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for insurance coverage. We characterize
arxiv
Studies in Risk Theory with Numerical Illustrations concerning Distribution Functions and Stop Loss Premiums by H. Bohman & F. Esscher [PDF]
, 1964 openalex +1 more source
Why do variance swaps exist? [PDF]
This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of ...
Alfonso Novales Cinca +2 more
core
Agribusiness, EarlyView.ABSTRACT The cocoa‐chocolate value chain faces significant environmental and social challenges, driving firms to adopt sustainability strategies ranging from individual practices to third‐party certifications. This study investigates the factors associated with these strategies by analyzing 304 cocoa‐chocolate companies using firm‐level data from the ...
Stella Marschner +3 more
wiley +1 more source
Why Do Emerging Economies Borrow Short Term? [PDF]
We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the government and ...
Fernando A. Broner +2 more
core +3 more sources
Option Pricing, Historical Volatility and Tail Risks [PDF]
arXiv, 2014 We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion.
arxiv