Risk Management and Financial Derivatives: An Overview

Type of content
Discussion / Working Papers
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
University of Canterbury. Department of Economics and Finance
Journal Title
Journal ISSN
Volume Title
Language
Date
2012
Authors
Hammoudeh, S.
McAleer, M.
Abstract

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on "Risk Management and Financial Derivatives" is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence from S&P100 index and equity options, the performance of commodity trading advisors: a mean-variance-ratio test approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and simulating Weibull models of risk or price durations: an application to ACD models, valuation of double trigger catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS sector indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi-national enterprises, solving replication problems in a complete market by orthogonal series expansion, downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks, and implied Sharpe ratios of portfolios with options: application to Nikkei futures and listed options.

Description
Working paper No. 10/2012
Citation
Hammoudeh, S., McAleer, M. (2012) Risk Management and Financial Derivatives: An Overview..
Keywords
risk management, optimal portfolios, financial derivatives, financial econometrics, options, futures, volatility, spillovers, hedging, default, risk premia, complete markets
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Fields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economics
Field of Research::14 - Economics::1403 - Econometrics
Rights