VaR without correlations for portfolios of derivative securities

Article Abstract:

A technique for simulating the returns of derivative security portfolios by taking into consideration the available information on prevailing market conditions has been devised. The method utilizes data on historical security returns non-normalities but disregards the complexities and data clutter that is normally associated with large data computations. This results in a faster Value at Risk evaluation that is limited only by the filter used in the analysis of the time series.

Methods, Risk assessment, Evaluation, Statistics, Derivatives (Financial instruments), Securities industry, Futures, Commodity swaps

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The determinants of bid-ask spreads in the foreign exchange futures market: a microstructure analysis

Article Abstract:

The intraday determinants of bid-ask spreads (BAS) in the foreign exchange futures (FXF) market are investigated and analyzed in the context of seasonal differences in BAS. The study has identified the number of transactions and the volatility of FXF prices as the major determinants of intraday BAS trading behavior. A negative correlation has been found between BAS and its number of transactions, while a positive one exists between BAS and price volatility.

Research, Stock-exchange, Stock exchanges, Foreign exchange futures

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The cross-country hedging performance of implied versus statistical forecasting models

Article Abstract:

Optimal hedge ratios models are presented and examined. There are lower variances with a weighted moving-average.

World, Statistical Data Included, Hedging (Finance), Forecasting

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