Derivatives and the price of risk

Article Abstract:

An incorrect specification can be detrimental to the derivative valuation through the use of risk-neutral valuation due to the unobservable and constantly changing market price of risk, which a risk-neutral model requires. Derivative values are seen to significantly change with the choice specifications of market price of risk regardless of the effort to restrict it to a certain class. An experiment using Eurodollar futures options prices also shows that a term structure of risk outdoes specifications that assume price of risk to be time invariant.

Market Research, Methods, Models, Management, Risk management, Specifications

---

Derivatives usage and interest rate risk of large banking firms

Article Abstract:

The effect of using financial derivatives on the interest rate risk of major US banks is investigated by studying the hedging effectiveness of futures, options and swaps. Commercial banks have been using financial derivatives to hedge interest rate and foreign exchange risk due to its commercial banking activities. Banks may also charge a fee for using financial derivatives as intermediaries between parties. However, the losses suffered by several companies in trading derivatives have given derivatives negative publicity.

Commercial Banks, Commercial Banking, Banking industry, Product information, Interest rates

---

The global market for OTC derivatives: an analysis of dealer holdings

Article Abstract:

An analysis of the trading activities of the OTC dealer is presented.

Market information - general, Washington, Georgia, Supply and demand

Similar abstracts:

• Abstracts: Listening to the voice of the market. Competitive intelligence at Lexis-Nexis. Profiling in competitive analysis
• Abstracts: Competition and audit fees. Service design and operations strategy formulation in multicultural markets. Understanding managerial preferences in selecting equipment
• Abstracts: Preparing for a changing insurance market. Tax rates in small and large firms
• Abstracts: From experience: the spirituality of innovation - learning from stories. From experience: where does your new technology fit into the marketplace?
• Abstracts: Measuring the impact of product mix heterogeneity on manufacturing overhead cost. British entrepreneurs and pre-Industrial Revolution evidence of cost management

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.