Risk Management and Financial Derivatives: An Overview


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Hammoudeh, Shawkat and McAleer, Michael (2012) Risk Management and Financial Derivatives: An Overview. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 08, 2012, ISSN: 2341-2356 ]

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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 correlations 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.

Item Type:Working Paper or Technical Report
Additional Information:

The authors wish to thank the referees for their timely and helpful comments and suggestions on the papers comprising the special issue. The second author wishes to acknowledge the financial support of the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.

Uncontrolled Keywords:Risk management, Optimal portfolios, Financial derivatives, Financial econometrics, Options, Futures, Volatility, Spillovers, Hedging, Default, Risk premia, Complete markets.
Subjects:Social sciences > Economics > Finance
Social sciences > Economics > Econometrics
Social sciences > Economics > Stock exchanges
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:15011
Deposited On:25 Apr 2012 07:37
Last Modified:01 Oct 2019 09:18

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