Optimal hedging strategy for risk management on a network
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Acharya, Viral V., 2009.
"A theory of systemic risk and design of prudential bank regulation,"
Journal of Financial Stability,
Elsevier, vol. 5(3), pages 224-255, September.
- Acharya, Viral V, 2009. "A Theory of Systemic Risk and Design of Prudential Bank Regulation," CEPR Discussion Papers 7164, C.E.P.R. Discussion Papers.
- Stulz, RenÃ© M., 1984. "Optimal Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(2), pages 127-140, June.
- Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007.
"Valuation in Over-the-Counter Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 20(6), pages 1865-1900, November.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006. "Valuation in Over-the-Counter Markets," NBER Working Papers 12020, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers 5491, C.E.P.R. Discussion Papers.
- Brian W. Nocco & René M. Stulz, 2006. "Enterprise Risk Management: Theory and Practice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 18(4), pages 8-20, September.
- Venkat Srinivasan & Yong H Kim, 1986. "Payments Netting in International Cash Management: A Network Optimization Approach," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 17(2), pages 1-20, June.
- van den End, Jan Willem & Tabbae, Mostafa, 2012.
"When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour,"
Journal of Financial Stability,
Elsevier, vol. 8(2), pages 107-120.
- Jan Willem van den End & Mostafa Tabbae, 2009. "When liquidity risk becomes a macro-prudential issue: Empirical evidence of bank behaviour," DNB Working Papers 230, Netherlands Central Bank, Research Department.
- Darrell Duffie, 2012.
Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets,
Princeton University Press.
- David P. Rutenberg, 1970. "Maneuvering Liquid Assets in a Multi-National Company: Formulation and Deterministic Solution Procedures," Management Science, INFORMS, vol. 16(10), pages 671-684, June.
- Francisco Pérez-González & Hayong Yun, 2013. "Risk Management and Firm Value: Evidence from Weather Derivatives," Journal of Finance, American Finance Association, vol. 68(5), pages 2143-2176, October.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2033-2060, June.
- López-Espinosa, Germán & Rubia, Antonio & Valderrama, Laura & Antón, Miguel, 2013. "Good for one, bad for all: Determinants of individual versus systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 287-299.
- Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
- Hallikas, Jukka & Karvonen, Iris & Pulkkinen, Urho & Virolainen, Veli-Matti & Tuominen, Markku, 2004. "Risk management processes in supplier networks," International Journal of Production Economics, Elsevier, vol. 90(1), pages 47-58, July.
- Stoimenov, Pavel A. & Wilkens, Sascha, 2005. "Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2971-2993, December.
- Minoiu, Camelia & Reyes, Javier A., 2013. "A network analysis of global banking: 1978–2010," Journal of Financial Stability, Elsevier, vol. 9(2), pages 168-184.
- John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
- repec:bla:joares:v:31:y:1993:i:2:p:246-271 is not listed on IDEAS
- Yu, Fan, 2005. "Accounting transparency and the term structure of credit spreads," Journal of Financial Economics, Elsevier, vol. 75(1), pages 53-84, January.
- Smith, Clifford W. & Stulz, RenÃ© M., 1985. "The Determinants of Firms' Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(4), pages 391-405, December.
- Stefan Thurner & Rudolf Hanel & Stefan Pichler, 2003. "Risk trading, network topology and banking regulation," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 306-319.
- Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1993.
" Risk Management: Coordinating Corporate Investment and Financing Policies,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1629-1658, December.
- Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1992. "Risk Management: Coordinating Corporate Investment and Financing Policies," NBER Working Papers 4084, National Bureau of Economic Research, Inc.
- Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.
- Martínez-Jaramillo, Serafín & Pérez, Omar Pérez & Embriz, Fernando Avila & Dey, Fabrizio López Gallo, 2010. "Systemic risk, financial contagion and financial fragility," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2358-2374, November.
- Mayers, David & Smith, Clifford W, Jr, 1982. "On the Corporate Demand for Insurance," The Journal of Business, University of Chicago Press, vol. 55(2), pages 281-296, April.
- Lee, Seung Hwan, 2013. "Systemic liquidity shortages and interbank network structures," Journal of Financial Stability, Elsevier, vol. 9(1), pages 1-12.
- Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner, 2004. "Network topology of the interbank market," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 677-684.
- Dong‐Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Optimal Risk Management Using Options," Journal of Finance, American Finance Association, vol. 54(1), pages 359-375, February.
- René M. Stulz, 1996. "Rethinking Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 8-25, September.
- Andrew Ellul & Vijay Yerramilli, 2013. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies," Journal of Finance, American Finance Association, vol. 68(5), pages 1757-1803, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:intfin:v:58:y:2019:i:c:p:78-95 is not listed on IDEAS
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
More about this item
KeywordsRisk management; Hedging decisions; Financial network; Optimal hedging strategy;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finsta:v:16:y:2015:i:c:p:31-44. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jfstabil .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.