Betas and Liquidity: Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

2012 ◽  
Author(s):  
Roland Umlauft
Keyword(s):  
Price Risk ◽  
Asset Liquidity

Measuring Price Risk in Commodity Markets

2010 ◽  
Vol 5 (2) ◽  
pp. 380-394 ◽  
Author(s):  
Szczepan Figiel ◽  
Mariusz Hamulczuk
Keyword(s):  
Commodity Markets ◽  
Price Risk

Hedging as a Method of Price Risk Management

2019 ◽  
Vol 8 (4) ◽  
Author(s):  
Lilia Mirgaziyanovna Yusupova ◽  
Irina Arkadevna Kodolova ◽  
Tatyana Viktorovna Nikonova ◽  
Bulat Talgatovich Yakupov
Keyword(s):  
Risk Management ◽  
Price Risk ◽  
Price Risk Management

Hedging House Price Risk with Futures Contracts after the Bubble Burst

2014 ◽  
Author(s):  
Patrick J. Schorno ◽  
Steve Swidler ◽  
Michael D. Wittry
Keyword(s):  
House Price ◽  
Futures Contracts ◽  
Price Risk ◽  
Bubble Burst ◽  
House Price Risk

COVID−19 and Oil Price Risk Exposure

2020 ◽  
Author(s):  
Md Akhtaruzzaman ◽  
Sabri Boubaker ◽  
Mardy Chiah ◽  
Angel Zhong
Keyword(s):  
Oil Price ◽  
Risk Exposure ◽  
Price Risk ◽  
Oil Price Risk

Examining the Hedging Effectiveness of Futures Contracts over Pre and Post Financial Crisis Period: Evidence from National Stock Exchange of India

2015 ◽  
Vol 3 (2) ◽  
Author(s):  
Kapil Gupta ◽  
Mandeep Kaur
Keyword(s):  
Financial Crisis ◽  
Stock Exchange ◽  
Futures Contracts ◽  
Price Risk ◽  
Hedge Ratio ◽  
Crisis Period ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Time Invariant

Present study examines the efficiency of futures contracts in hedging unwanted price risk over highly volatile period i.e. June 2000 - December 2007 and January 2008 – June 2014, pre and post-financial crisis period, by using S&PC NXNIFTY, CNXIT and BANKNIFTY for near month futures contracts. The hedge ratios have been estimated by using five methods namely Ederingtons Model, ARMA-OLS, GARCH (p,q), EGARCH (p,q) and TGARCH (p,q). The study finds that hedging effectiveness increased during post crisis period for S&PC NXNIFTY and BANKNIFTY. However, for CNXIT hedging effectiveness was better during pre-crisis period than post crisis. The study also finds that time-invariant hedge ratio is more efficient than time-variant hedge ratio.

A model of endogenous direct and indirect asset liquidity

2021 ◽  
Vol 132 ◽  
pp. 103627
Author(s):  
Athanasios Geromichalos ◽  
Kuk Mo Jung ◽  
Seungduck Lee ◽  
Dillon Carlos
Keyword(s):  
Asset Liquidity
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